Bayesian Inference for Stochastic Processes - 9780367572433

Bayesian Inference for Stochastic ProcessesAuthor(s): Lyle D. Broemeling\nFormat: Paperback\nPublisher: Taylor & Francis Ltd, United Kingdom\nImprint: Chapman & Hall/CRC\nISBN-13: 9780367572433, 978-0367572433\nSynopsis\nThis is the first book designed to introduce Bayesian inference procedures for stochastic processes. There are clear advantages to the Bayesian approach (including the optimal use of prior information). Initially, the book begins with a brief review of Bayesian inference and uses many examples relevant to the analysis of stochastic processes, including the four major types, namely those with discrete time and discrete state space and continuous time and continuous state space. The elements necessary to understanding stochastic processes are then introduced, followed by chapters devoted to the Bayesian analysis of such processes. It is important that a chapter devoted to the fundamental concepts in stochastic processes is included. Bayesian inference (estimati.