Základy náhodných procesů II

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.