Stationary Stochastic Models: An Introduction

This book provides a comprehensive mathematical introduction to stationary time series models and continuous time stationary stochastic processes, with practical discussions and examples. It covers topics such as stationarity, stationary random fields, simulation, and information theory, and includes an appendix for technical assistance.

Format: Hardback
Length: 416 pages
Publication date: 22 July 2022
Publisher: World Scientific Publishing Co Pte Ltd

This comprehensive volume offers a unified mathematical introduction to stationary time series models and continuous time stationary stochastic processes. It delves into the analysis of these models across both the time domain and the frequency domain. The book begins with a practical discussion on stationarity, outlining various methods for obtaining stationary data. The presented topics are illustrated through numerous examples, making the content accessible and engaging for readers.

The book covers a wide range of topics, including:

Stationarity: This foundational concept is explored, providing practical insights into identifying stationary data.

Time Domain Analysis: The analysis of stationary time series models in the time domain is covered, including methods such as the autoregressive (AR) model, the moving average (MA) model, and the exponential smoothing model.

Frequency Domain Analysis: The analysis of stationary stochastic processes in the frequency domain is discussed, including the Fourier transform, the Laplace transform, and the Z-transform.

Illustrations: Numerous examples are provided to illustrate the theoretical concepts and applications of stationary time series models and stationary stochastic processes.

Selected Topics: The book concludes with a section on selected topics, including stationary random fields, simulation of Gaussian stationary processes, time series for planar directions, large deviations approximations, and results of information theory.

A detailed appendix is included to provide supplementary materials and assist readers with technical aspects of the book.

Whether you are a researcher, student, or professional in the field of time series analysis, this volume serves as a valuable resource for understanding and applying stationary time series models and stationary stochastic processes. Its comprehensive coverage and practical insights make it an essential tool for anyone seeking to advance their knowledge in this area.

ISBN-13: 9789811251832