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Bayesian Forcasting and Dynamic Models
作者：Mike West & Jeff Harrison 是Springer统计系列教材中的一本。
这本书没有下全，只有240页，还是贴个不完整的目录吧，希望以后有人能够把它下完。
1 Introduction 1
1.1 Modelling, Learning and Forecasting 1
1.2 Forecast and Decision Systems 8
1.3 Bayesian Modelling and Forecasting 20
1.4 Historical Perspective and Bibliographic Comments 28
2 Introduction to the DLM 32
2.1 Introduction 32
2.2 The DLM and Recurrence Relationships 34
2.3 The Constant Model 39
2.4 Specification of Evolution Variance Wt 49
2.5 Unknown Observational Variances 52
2.6 Illustration 57
2.7 Appendix 61
2.8 Exercises 61
3 Introduction to the DLM 68
3.1 Introduction 68
3.2 The Multiple Regression DLM 73
3.3 Dynamic Straight Line through the Origin 74
3.4 Model Variances and Summary 83
3.5 Exercises 91
4 The Dynamic Linear Model 97
4.1 Overview 97
4.2 Definitions and Notation 100
4.3 Updating Equations: The Univariate DLM 103
4.4 Forecast Distributions 106
4.5 Observational Variances 108
4.6 Summary 111
4.7 Filtering Recurrences 112
4.8 Retrospective Analysis 116
4.9 Linear Bayes’ Optimality 122
4.10 Reference Analysis of the DLM 128
4.11 Appendix: Conditional Independence 136
4.12 Exercises 138
5 Univariate Time Series DLM Theory 143
5.1 Univariate Time Series DLMS 143
5.2 Observability 143
5.3 Similar and Equivalent Models 148
5.4 Canonical Models 154
5.5 Limiting Results for Constant Models 160
5.6 Stationarity 169
5.7 Exercises 172
6 Model Specification and Design 178
6.1 Basic Forecast Functions 178
6.2 Specification of Ft and Gt 186
6.3 Discount Factors and Component Model Specification 193
6.4 Further Comments on Discount Models 200
6.5 Exercises 202
7 Polynomial Trend Models 208
7.1 Introduction 208
7.2 Second-Order Polynomial Models 211
7.3 Linear Growth Models 217
7.4 Third-Order Polynomial Models 225
7.5 Exercises 229
8 Seasonal Models 234
8.1 Introduction 234
8.2 Seasonal Factor Representations of Cyclical Functions 237
8.3 Form-Free Seasonal Factor DLMS 238
8.4 Form-Free Seasonal Effects DLMS 240
8.5 Trend/Form-Free Seasonal Effects DLMS 244
8.6 Fourier Form Representation of Seasonality 246
8.7 Exercises 263
9 Regression, Autoregression, and Related Models 270
9.1 Introduction 270
9.2 The Multiple Regression DLM 270
9.3 Transfer Functions 281
9.4 Arma Models 291
9.5 Time Series Decompositions 301
9.6 Time-Varying Autoregressive DLMS 304
9.7 Exercises 311
[此贴子已经被作者于2008-10-24 11:46:34编辑过]
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