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#124 State Space Models & Structural Time Series, with Jesse Grabowski

Learning Bayesian Statistics

CHAPTER

Understanding State Space Models

This chapter explores the fundamentals of state space models, focusing on the distinction between observed and hidden states and their implications in fields like economics and sports. Through various examples, it illustrates how latent factors, transition probabilities, and trends can influence observable outcomes. The discussion emphasizes the integration of mathematical concepts and practical applications within statistical frameworks to enhance predictive analysis.

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