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Random sequences and
processes, covariance, spectral distribution and decomposition,
linear, invariant operations, linear least-mean-square estimation,
normal equations, rational spectral density and
autoregressive-moving average models.
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Main textbooks: |
S. Karlin, M.
Howard,
A First
Course
in Stochastic
Processes,
Academic Press, 1975.
J. Lamperti,
Stochastic Processes:
a Survey
of the Mathematical
Theory,
Springer, 1977. |
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Auxiliary
textbooks: |
Z.
Brzezniak,
T. Zastawniak,
Basic Stochastic
Processes:
A Course
Through
Exercises,
Springer, 1998.
W. Paul, Jörg
Baschna, Stochastic processes: from physics to finance,
Springer, 1999.
G. Grimmett, D.
Stirzaker.
Probability and random processes. Oxford University
Press, 2001. |
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