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Bayesian Inference of State Space Models : Kalman Filtering and Beyond /

Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, lin...

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Bibliographic Details
Main Author: Triantafyllopoulos, Kostas (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2021.
Edition:1st ed. 2021.
Series:Springer Texts in Statistics,
Subjects:
Statistics .
System theory.
Statistics, general.
Systems Theory, Control.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1 State Space Models
  • 2 Matrix Algebra, Probability and Statistics
  • 3 The Kalman Filter
  • 4 Model Specification and Model Performance
  • 5 Multivariate State Space Models
  • 6 Non-linear and non-Gaussian State Space Models
  • 7 The State Space Model in Finance
  • 8 Dynamic Systems and Control
  • References
  • Index.