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Základy náhodných procesů II

Základy náhodných procesů II

[Basics of stochastic processes 2]

Prášková, Zuzana

subjects: mathematics and statistics

paperback, 170 pp., 2. edition
published: october 2016
ISBN: 978-80-246-3516-3
recommended price: 210 czk



A textbook for students of the Faculty of Mathematics and Physics, Charles University in Prague, a sequel to Z. Prášková and P. Lachout’s Basics of Random Processes 1. Contents: stationary processes, final second-order moments of random processes, spectral analysis of autocovariance functions, stochastic integrals, spectral analysis of stochastic processes, linear models of time series, selected limit clauses for stationary sequences, prediction, signal and interference filtration, average estimates and autocorrelation functions, parameter estimations in the ARMA models, periodograms and spectral density estimations.