Time Series
Modeling, Computation, and Inference, Second Edition - Solutions Manual
2nd Edition
Will be published approx. on 8. March 2017
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978-1-4987-4706-6 (ISBN)
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Description
This is the second edition of a popular graduate level textbook on time series modeling, computation and inference. The book is essentially unique in its approach, with a focus on Bayesian methods, although classical methods are also covered. The second edition has been updated with an additional author, new references throughout, and new material on multivariate time series. There are also lots of new examples and exercises, and the computing has been greatly enhanced. Code, data, and other material are now made available on a supplementary website.
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Content
Notation, Definitions, and Basic Inference; Traditional Time Domain Models; The Frequency Domain; Dynamic Linear Models; State-Space Time-Varying Autoregressive Models; Sequential Monte Carlo Methods for State-Space Models; Mixture Models in Time Series; Topics and Examples in Multiple Time Series; Vector AR and ARMA Models; Multivariate DLMs and Covariance Models; Further Multivariate Topics.