Time Series Analysis for the State-Space Model with R/Stan

DOI10.1007/978-981-16-0711-0zbMath1470.62008OpenAlexW3196556869MaRDI QIDQ5858581

Junichiro Hagiwara

Publication date: 13 April 2021

Full work available at URL: https://doi.org/10.1007/978-981-16-0711-0

zbMATH Keywords

time series analysisstate-space modelstructural change detection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Uses Software

• R
• dlm
• pomp
• RStan
• KFAS
• nimble

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