Customer Reviews

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

5 star:		(2)
4 star:		(1)
3 star:		(1)
2 star:		(0)
1 star:		(0)

 

 

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.

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.

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.

I would like to thank the excellent service of AMAZON.com.

I loved this book. He is perfekt for my study of Time Series.

Moises.