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Stationary Stochastic Processes: Theory and Applications by Georg Lindgren

Stationary Stochastic Processes: Theory and Applications

by Georg Lindgren
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Book cover type: Hardcover
  • ISBN13: 9781466557796
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Taylor & Francis
  • Publisher Imprint: CRC Press
  • Publication Date:
  • Pages: 376
  • Original Price: GBP 105.0
  • Language: English
  • Edition: N/A
  • Item Weight: 658 grams
  • BISAC Subject(s): Probability & Statistics / Bayesian Analysis

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.

Georg Lindgren is with the Centre for Mathematical Sciences, Lund University, Sweden.

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