Applied Bayesian Forecasting and Time Series Analysis (Chapman & Hall/CRC Texts in Statistical Science) [Hardcover]

Andy Pole (Author), Mike West (Author), Jeff Harrison (Author)

Book Description

Publication Date: September 1, 1994 | ISBN-10: 0412044013 | ISBN-13: 978-0412044014 | Edition: 1

Practical in its approach, Applied Bayesian Forecasting and Time Series Analysis provides the theories, methods, and tools necessary for forecasting and the analysis of time series. The authors unify the concepts, model forms, and modeling requirements within the framework of the dynamic linear mode (DLM). They include a complete theoretical development of the DLM and illustrate each step with analysis of time series data. Using real data sets the authors:

Explore diverse aspects of time series, including how to identify, structure, explain observed behavior, model structures and behaviors, and interpret analyses to make informed forecasts

Illustrate concepts such as component decomposition, fundamental model forms including trends and cycles, and practical modeling requirements for routine change and unusual events

Conduct all analyses in the BATS computer programs, furnishing online that program and the more than 50 data sets used in the text

The result is a clear presentation of the Bayesian paradigm: quantified subjective judgements derived from selected models applied to time series observations. Accessible to undergraduates, this unique volume also offers complete guidelines valuable to researchers, practitioners, and advanced students in statistics, operations research, and engineering.

Editorial Reviews

Review

This book has filled a significant gap in the market for statistical texts. It should move Bayesian techniques for time series analysis and forecasting into the standard repertoire of applied statisticians. I think that it is an excellent book, and recommend it, especially to those who are not already familiar with these ideas.
-The Statistician

Product Details

• Hardcover: 432 pages
• Publisher: Chapman and Hall/CRC; 1 edition (September 1, 1994)
• Language: English
• ISBN-10: 0412044013
• ISBN-13: 978-0412044014
• Product Dimensions: 8.9 x 6.7 x 1.1 inches
• Shipping Weight: 1.6 pounds (View shipping rates and policies)
• Average Customer Review: 4.2 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #1,488,494 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

35 of 35 people found the following review helpful:

5.0 out of 5 stars another fine time series book by West and Harrison, May 30, 2008

By 

Michael R. Chernick "statman31147" (Holland PA) - See all my reviews
(REAL NAME)   

This review is from: Applied Bayesian Forecasting and Time Series Analysis (Chapman & Hall/CRC Texts in Statistical Science) (Hardcover)

This is the second text authored by West and Harrison on the Bayesian approach to time series. I have read and reviewed both of them. The other text by these authors provides a rigorous development of time series analysis using Bayesian methods. While that text is very good at helping the reader understand the theory and the whys and hows of implementing it, this text is very much a book that shows applications and how the Bayesian time series approach is used to produce forecasts based on this methodology. The authors are expert researchers on this topic and aside from these two books texts on Bayesian approaches to time series are not easy to find.

8 of 8 people found the following review helpful:

3.0 out of 5 stars applied bayesian forecasting and time series analysis, March 30, 2000

By 

B.E.Stumborg (Madison, WI) - See all my reviews

This review is from: Applied Bayesian Forecasting and Time Series Analysis (Chapman & Hall/CRC Texts in Statistical Science) (Hardcover)

Pole et al.'s small primer on bayesian time series analysis is a good first step for an outsider to the area. The book is split into two parts. The first gives a favourable treatment of bayesian analysis. The second half of the book is an extended tutorial to accompany the canned program and data set included with the text.

The program itself is easy to use, although in talking with people who have worked through the book, they seem to have gone on to write their own code rather than rely on the program, BATS.

4 of 4 people found the following review helpful:

4.0 out of 5 stars A good introduction to dinamic models, June 25, 2001

By 

José A. Sánchez Villanueva - See all my reviews

This review is from: Applied Bayesian Forecasting and Time Series Analysis (Chapman & Hall/CRC Texts in Statistical Science) (Hardcover)

This is a hands-on introduction to bayesian forecasting and dinamic models. After a brief overview on theory, it leads you to some fully developed examples. The second part of the book simply develop some examples on the BATS program supplied with the book. They clearly feature the main capabilities of the program. The main drawback is that all the book is focused on that program, so BF and DM are glossed over. So, a reading to the theory focused book "bayesian forecasting and dinamic models" from Harrison is mandatory for a deeper dive into this issue.