Stationary stochastic processes for scientists and engineers. (2014)
- Record Type:
- Book
- Title:
- Stationary stochastic processes for scientists and engineers. (2014)
- Main Title:
- Stationary stochastic processes for scientists and engineers
- Further Information:
- Note: Georg Lindgren, Lund University Lund, Sweden, Holger Rootzén, Chalmers University of Technology Gothenburg, Sweden, Maria Sandsten, Lund University Lund, Sweden.
- Authors:
- Lindgren, Georg, 1940-
Rootzén, Holger
Sandsten, Maria - Contents:
- Stochastic Processes; Some stochastic models; Definition of a stochastic process; Distribution functions Stationary Processes; Introduction; Moment functions; Stationary processes; Random phase and amplitude; Estimation of mean value and covariance function; Stationary processes and the non-stationary reality; Monte Carlo simulation from covariance function The Poisson Process and Its Relatives; Introduction; The Poisson process; Stationary independent increments; The covariance intensity function; Spatial Poisson process; Inhomogeneous Poisson process; Monte Carlo simulation of Poisson processes Spectral Representations; Introduction; Spectrum in continuous time; Spectrum in discrete time; Sampling and the aliasing effect; A few more remarks and difficulties; Monte Carlo simulation from spectrum Gaussian Processes ; Introduction; Gaussian processes; The Wiener process; Relatives of the Gaussian process; The Lévy process and shot noise process; Simulation of Gaussian process from spectrum Linear Filters—General Theory; Introduction; Linear systems and linear filters; Continuity, differentiation, integration; White noise in continuous time; Cross-covariance and cross-spectrum AR, MA, and ARMA Models; Introduction; Auto-regression and moving average; Estimation of AR parameters; Prediction in AR and ARMA models; A simple non-linear model—the GARCH process; Monte Carlo simulation of ARMA processes Linear Filters—Applications; Introduction; Differential equations with randomStochastic Processes; Some stochastic models; Definition of a stochastic process; Distribution functions Stationary Processes; Introduction; Moment functions; Stationary processes; Random phase and amplitude; Estimation of mean value and covariance function; Stationary processes and the non-stationary reality; Monte Carlo simulation from covariance function The Poisson Process and Its Relatives; Introduction; The Poisson process; Stationary independent increments; The covariance intensity function; Spatial Poisson process; Inhomogeneous Poisson process; Monte Carlo simulation of Poisson processes Spectral Representations; Introduction; Spectrum in continuous time; Spectrum in discrete time; Sampling and the aliasing effect; A few more remarks and difficulties; Monte Carlo simulation from spectrum Gaussian Processes ; Introduction; Gaussian processes; The Wiener process; Relatives of the Gaussian process; The Lévy process and shot noise process; Simulation of Gaussian process from spectrum Linear Filters—General Theory; Introduction; Linear systems and linear filters; Continuity, differentiation, integration; White noise in continuous time; Cross-covariance and cross-spectrum AR, MA, and ARMA Models; Introduction; Auto-regression and moving average; Estimation of AR parameters; Prediction in AR and ARMA models; A simple non-linear model—the GARCH process; Monte Carlo simulation of ARMA processes Linear Filters—Applications; Introduction; Differential equations with random input; The envelope; Matched filter; Wiener filter; Kalman filter; An example from structural dynamics; Monte Carlo simulation in continuous time Frequency Analysis and Spectral Estimation; Introduction; The periodogram; The discrete Fourier transform and the FFT; Bias reduction—data windowing; Reduction of variance Appendix A: Some Probability and Statistics ; Appendix B: Delta Functions and Stieltjes Integrals; Appendix C: Kolmogorov’s Existence Theorem; Appendix D: Covariance/Spectral Density Pairs; Appendix E: A Historical Background References Index Exercises appear at the end of each chapter. … (more)
- Publisher Details:
- Boca Raton : CRC Press, Taylor & Francis Group
- Publication Date:
- 2014
- Copyright Date:
- 2014
- Extent:
- 1 online resource
- Subjects:
- 519.2/32/0245
Stationary processes
Stochastic analysis
Stationary processes
Stochastic analysis
Electronic books - Languages:
- English
- ISBNs:
- 9781466586192
1466586192 - Notes:
- Note: Includes bibliographical references (pages 299-303) and index.
- Access Rights:
- Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
- Access Usage:
- Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD.DS.144115
- Ingest File:
- 01_089.xml