Stationary Stochastic Processes: Theory and Applications

Georg Lindgren

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October 1, 2012 by Chapman and Hall/CRC
Textbook - 375 Pages - 21 B/W Illustrations
ISBN 9781466557796 - CAT# K15489
Series: Chapman & Hall/CRC Texts in Statistical Science

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Features

  • Introduces the theory and applications of advanced stochastic processes
  • Includes all basic theory together with recent developments from research in the area
  • Utilizes a rigorous and application-oriented approach to stationary processes
  • Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability
  • Opens the doors to a selection of special topics for the teacher to expand on, like extreme value theory, filter theory, long-range dependence, and point processes

Summary

Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes.

Features

  • Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields
  • Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability
  • Motivates mathematical theory from a statistical model-building viewpoint
  • Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes
  • Provides more than 100 exercises with hints to solutions and selected full solutions

This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.