Non-Stationary Stochastic Processes Estimation: Vector Stationary Increments, Periodically Stationary Multi-Seasonal Increments

✍ Scribed by Maksym Luz, Mikhail Moklyachuk

Publisher: De Gruyter
Year: 2024
Tongue: English
Leaves: 310
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Introduction
Contents
Notations and abbreviations
1 Periodically stationary multi-seasonal increments of stochastic sequences
2 Extrapolation of sequences with periodically stationary increments
3 Extrapolation of sequences with periodically stationary increments observed with noise
4 Interpolation of sequences with periodically stationary increments observed with or without noise
5 Filtering of sequences with periodically stationary increments
6 Continuous time stochastic processes with periodically correlated increments
7 Extrapolation of processes with periodically correlated increments
8 Extrapolation of processes with periodically correlated increments observed with noise
9 Interpolation of processes with periodically correlated increments observed with or without noise
10 Filtering of processes with periodically correlated increments
11 Filtering problem when signal and noise have periodically correlated increments
Problems
A Some models of non-stationary time series
Bibliography
Index

📜 SIMILAR VOLUMES

Estimation of Stochastic Processes with

📁 Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

✍ Maksym Luz; Mikhail Moklyachuk 📂 Library 📅 2019 🏛 John Wiley & Sons 🌐 English

Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on

Stable non-Gaussian self-similar process

📁 Stable non-Gaussian self-similar processes with stationary increments

✍ Pipiras, Vladas; Taqqu, Murad S 📂 Library 📅 2017 🏛 Springer 🌐 English

This book provides a self-contained presentation on the structure of a large class of stable processes, known as self-similar mixed moving averages. The authors present a way to describe and classify these processes by relating them to so-called deterministic flows. The first sections in the book re

Stationary stochastic processes

📁 Stationary stochastic processes

✍ Hida T 📂 Library 📅 1970 🏛 Princeton University Press 🌐 English

Hitting Probabilities of Single Points f

📁 Hitting Probabilities of Single Points for Processes With Stationary Independent Increments

✍ Kesten H. 📂 Library 📅 1969 🏛 Amer Mathematical Society 🌐 English

Stationary Stochastic Processes. (MN-8)

📁 Stationary Stochastic Processes. (MN-8)

✍ Takeyuki Hida 📂 Library 📅 2015 🏛 Princeton University Press 🌐 English

Encompassing both introductory and more advanced research material, these notes deal with the author's contributions to stochastic processes and focus on Brownian motion processes and its derivative white noise. Originally published in 1970. The Princeton Legacy Library uses

Stationary Stochastic Processes. (MN-8):

📁 Stationary Stochastic Processes. (MN-8):

✍ Takeyuki Hida 📂 Library 📅 1970 🏛 Princeton University Press 🌐 English

Encompassing both introductory and more advanced research material, these notes deal with the author's contributions to stochastic processes and focus on Brownian motion processes and its derivative white noise. Originally published in 1970. The Princeton Legac