Example of Applied Analysis in General State-Space Model

Junichiro Hagiwara ()
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Junichiro Hagiwara: Hokkaido University, Graduate School / Faculty of Information Science and Technology

Chapter Chapter 12 in Time Series Analysis for the State-Space Model with R/Stan, 2021, pp 277-301 from Springer

Abstract: Abstract This chapter discusses approaches to appropriately consider the structural change in the flow data of the Nile. As one such approach, we have already introduced the regression model in Sect. 9.6.2 . However, we have treated the change point as known. In this chapter, we first review the approach in the case of a known change point and then extend it to the case wherein the change point is unknown. Furthermore, based on such an examination, we explain real-time detection of an unknown change point.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-16-0711-0_12

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DOI: 10.1007/978-981-16-0711-0_12

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