Bayesian Forecasting and Dynamic Models

This text is concerned with Bayesian learning, inference and forecasting in dynamic environments. We describe the structure and theory of classes of dynamic models and their uses in forecasting and time series analysis. The principles, models and methods of Bayesian forecasting and time - series analysis have been developed extensively during the last thirty years.

This development has involved thorough investigation of mathematical and statistical aspects of forecasting models and related techniques. With this has come experience with applications in a variety of areas in commercial, industrial, scientific, and socio-economic fields. Much of the technical development has been driven by the needs of forecasting practitioners and applied researchers. As a result, there now exists a relatively complete statistical and mathematical framework, presented and illustrated here. In writing and revising this book, our primary goals have been to present a reasonably comprehensive view of Bayesian ideas and methods in modelling and forecasting, particularly to provide a solid reference source for advanced university students and research workers.