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Dynamic Time Series Models using R-INLA

Author : Nalini Ravishanker

Publisher : CRC Press

Page : 297 pages

File Size : 37,85 MB

Release : 2022-08-10

Category : Mathematics

ISBN : 1000622606

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Book Description

Dynamic Time Series Models using R-INLA: An Applied Perspective is the outcome of a joint effort to systematically describe the use of R-INLA for analysing time series and showcasing the code and description by several examples. This book introduces the underpinnings of R-INLA and the tools needed for modelling different types of time series using an approximate Bayesian framework. The book is an ideal reference for statisticians and scientists who work with time series data. It provides an excellent resource for teaching a course on Bayesian analysis using state space models for time series. Key Features: Introduction and overview of R-INLA for time series analysis. Gaussian and non-Gaussian state space models for time series. State space models for time series with exogenous predictors. Hierarchical models for a potentially large set of time series. Dynamic modelling of stochastic volatility and spatio-temporal dependence.



Time Series

Author : Raquel Prado

Publisher : CRC Press

Page : 473 pages

File Size : 50,72 MB

Release : 2021-07-27

Category : Mathematics

ISBN : 1498747043

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Book Description

• Expanded on aspects of core model theory and methodology. • Multiple new examples and exercises. • Detailed development of dynamic factor models. • Updated discussion and connections with recent and current research frontiers.



Spatial and Spatio-temporal Bayesian Models with R - INLA

Author : Marta Blangiardo

Publisher : John Wiley & Sons

Page : 322 pages

File Size : 34,60 MB

Release : 2015-06-02

Category : Mathematics

ISBN : 1118326555

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Book Description

Spatial and Spatio-Temporal Bayesian Models with R-INLA provides a much needed, practically oriented & innovative presentation of the combination of Bayesian methodology and spatial statistics. The authors combine an introduction to Bayesian theory and methodology with a focus on the spatial and spatio-temporal models used within the Bayesian framework and a series of practical examples which allow the reader to link the statistical theory presented to real data problems. The numerous examples from the fields of epidemiology, biostatistics and social science all are coded in the R package R-INLA, which has proven to be a valid alternative to the commonly used Markov Chain Monte Carlo simulations



Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA

Author : Elias T. Krainski

Publisher : CRC Press

Page : 284 pages

File Size : 45,15 MB

Release : 2018-12-07

Category : Mathematics

ISBN : 0429629850

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Book Description

Modeling spatial and spatio-temporal continuous processes is an important and challenging problem in spatial statistics. Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA describes in detail the stochastic partial differential equations (SPDE) approach for modeling continuous spatial processes with a Matérn covariance, which has been implemented using the integrated nested Laplace approximation (INLA) in the R-INLA package. Key concepts about modeling spatial processes and the SPDE approach are explained with examples using simulated data and real applications. This book has been authored by leading experts in spatial statistics, including the main developers of the INLA and SPDE methodologies and the R-INLA package. It also includes a wide range of applications: * Spatial and spatio-temporal models for continuous outcomes * Analysis of spatial and spatio-temporal point patterns * Coregionalization spatial and spatio-temporal models * Measurement error spatial models * Modeling preferential sampling * Spatial and spatio-temporal models with physical barriers * Survival analysis with spatial effects * Dynamic space-time regression * Spatial and spatio-temporal models for extremes * Hurdle models with spatial effects * Penalized Complexity priors for spatial models All the examples in the book are fully reproducible. Further information about this book, as well as the R code and datasets used, is available from the book website at http://www.r-inla.org/spde-book. The tools described in this book will be useful to researchers in many fields such as biostatistics, spatial statistics, environmental sciences, epidemiology, ecology and others. Graduate and Ph.D. students will also find this book and associated files a valuable resource to learn INLA and the SPDE approach for spatial modeling.



Bayesian inference with INLA

Author : Virgilio Gomez-Rubio

Publisher : CRC Press

Page : 330 pages

File Size : 18,1 MB

Release : 2020-02-20

Category : Mathematics

ISBN : 1351707205

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Book Description

The integrated nested Laplace approximation (INLA) is a recent computational method that can fit Bayesian models in a fraction of the time required by typical Markov chain Monte Carlo (MCMC) methods. INLA focuses on marginal inference on the model parameters of latent Gaussian Markov random fields models and exploits conditional independence properties in the model for computational speed. Bayesian Inference with INLA provides a description of INLA and its associated R package for model fitting. This book describes the underlying methodology as well as how to fit a wide range of models with R. Topics covered include generalized linear mixed-effects models, multilevel models, spatial and spatio-temporal models, smoothing methods, survival analysis, imputation of missing values, and mixture models. Advanced features of the INLA package and how to extend the number of priors and latent models available in the package are discussed. All examples in the book are fully reproducible and datasets and R code are available from the book website. This book will be helpful to researchers from different areas with some background in Bayesian inference that want to apply the INLA method in their work. The examples cover topics on biostatistics, econometrics, education, environmental science, epidemiology, public health, and the social sciences.



Time Series

Author : Raquel Prado

Publisher : CRC Press

Page : 375 pages

File Size : 10,25 MB

Release : 2010-05-21

Category : Mathematics

ISBN : 1420093363

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Book Description

Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.



The Analysis of Time Series

Author : Chris Chatfield

Publisher : CRC Press

Page : 398 pages

File Size : 22,72 MB

Release : 2019-04-25

Category : Mathematics

ISBN : 1498795641

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Book Description

This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models. It also presents many examples and implementations of time series models and methods to reflect advances in the field. Highlights of the seventh edition: A new chapter on univariate volatility models A revised chapter on linear time series models A new section on multivariate volatility models A new section on regime switching models Many new worked examples, with R code integrated into the text The book can be used as a textbook for an undergraduate or a graduate level time series course in statistics. The book does not assume many prerequisites in probability and statistics, so it is also intended for students and data analysts in engineering, economics, and finance.



Time Series Models

Author : Manfred Deistler

Publisher : Springer Nature

Page : 213 pages

File Size : 18,94 MB

Release : 2022-10-21

Category : Mathematics

ISBN : 3031132130

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Book Description

This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.



Applied Time Series Analysis with R

Author : Wayne A. Woodward

Publisher : CRC Press

Page : 460 pages

File Size : 27,87 MB

Release : 2017-02-17

Category : Mathematics

ISBN : 1498734316

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Book Description

Virtually any random process developing chronologically can be viewed as a time series. In economics closing prices of stocks, the cost of money, the jobless rate, and retail sales are just a few examples of many. Developed from course notes and extensively classroom-tested, Applied Time Series Analysis with R, Second Edition includes examples across a variety of fields, develops theory, and provides an R-based software package to aid in addressing time series problems in a broad spectrum of fields. The material is organized in an optimal format for graduate students in statistics as well as in the natural and social sciences to learn to use and understand the tools of applied time series analysis. Features Gives readers the ability to actually solve significant real-world problems Addresses many types of nonstationary time series and cutting-edge methodologies Promotes understanding of the data and associated models rather than viewing it as the output of a "black box" Provides the R package tswge available on CRAN which contains functions and over 100 real and simulated data sets to accompany the book. Extensive help regarding the use of tswge functions is provided in appendices and on an associated website. Over 150 exercises and extensive support for instructors The second edition includes additional real-data examples, uses R-based code that helps students easily analyze data, generate realizations from models, and explore the associated characteristics. It also adds discussion of new advances in the analysis of long memory data and data with time-varying frequencies (TVF).



Ordered Data Analysis, Modeling and Health Research Methods

Author : Pankaj Choudhary

Publisher : Springer

Page : 268 pages

File Size : 15,23 MB

Release : 2015-12-14

Category : Mathematics

ISBN : 3319254332

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Book Description

This volume presents an eclectic mix of original research articles in areas covering the analysis of ordered data, stochastic modeling and biostatistics. These areas were featured in a conference held at the University of Texas at Dallas from March 7 to 9, 2014 in honor of Professor H. N. Nagaraja’s 60th birthday and his distinguished contributions to statistics. The articles were written by leading experts who were invited to contribute to the volume from among the conference participants. The volume is intended for all researchers with an interest in order statistics, distribution theory, analysis of censored data, stochastic modeling, time series analysis, and statistical methods for the health sciences, including statistical genetics.