Stationary Stochastic Processes for Scientists and Engineers

Suitable for a one-semester course, this text teaches students how to use stochastic processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. To enable hands-on practice, MATLAB® code is available online.

Georg Lindgren, Holger Rootzen, Maria Sandsten

Stochastic Processes. Stationary Processes. The Poisson Process and Its Relatives. Spectral Representations. Gaussian Processes. Linear Filters-General Theory. AR, MA, and ARMA Models. Linear Filters-Applications. Frequency Analysis and Spectral Estimation. Appendices. References. Index.