Mike West, Duke University  

Mike West
The Arts & Sciences Professor of Statistics & Decision Sciences
Department of Statistical Science
Duke University

Home
Teaching
Students & Postdocs
Publications
Software & data
Research
Videos
Conferences
Other links
Contact & Directions
 
 
BEST Award
Stat@Duke

Bayesian Forecasting and Dynamic Models

Mike West & Jeff Harrison
Springer, 1997 (2nd Ed.)

ISBN: 0-387-94725-6

(at Amazon)

*

  • 1999 - 2nd edition, 2nd printing errata
  • 1997 - 2nd edition, 1st printing errata
  • 1989 - 1st edition


LIST OF CHAPTERS

  1. Introduction
  2. Introduction To The DLM: The First-Order Polynomial Model
  3. Introduction To The DLM: The Regression DLM
  4. The Dynamic Linear Model
  5. Univariate Time Series DLM Theory
  6. Model Specification And Design
  7. Polynomial Trend Models
  8. Seasonal Models
  9. Regression, Autoregression, And Related Models
  10. Illustrations And Extensions Of Standard DLMS
  11. Intervention And Monitoring
  12. Multi-Process Models
  13. Non-Linear Dynamic Models: Basic Analytic And Numerical Approximations
  14. Exponential Family Dynamic Models
  15. Simulation-Based Methods In Dynamic Models
  16. Multivariate Modelling And Forecasting
  17. Appendix: Distribution Theory And Linear Algebra