Mike West, Duke University  

Mike West
The Arts & Sciences Distinguished Professor Emeritus of Statistics & Decision Sciences
Duke University

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Bayesian Forecasting
and Dynamic Models
2nd Edition, 1997

Mike West & Jeff Harrison

Springer Series in Statistics
   - ISBN: 0-387-94725-6
   - 1999 - 2nd edition, 2nd printing errata
   - 1997 - 2nd edition, 1st printing errata
   - 1989 - 1st edition

   - at Springer web page
   - at Amazon

*
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