- Springer International Publishing
- 2022
- Taschenbuch
- 512 Seiten
- ISBN 9783030761264
Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non- linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand,
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