Lecture Notes in Statistics
Smoothness Priors Analysis of Time Series
Genshiro Kitagawa | Will Gersch
Mathematics / Probability & Statistics / General
Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo "particle-path tracing" method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.
| Publication Date: |
09 August 1996 |
| Publisher: |
Springer New York |
| Imprint: |
Springer |
| ISBN-13: |
9780387948195 |
| Format: |
Paperback / softback |
| Page Count: |
280 |