The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observati

Suitable for a one-semester course, this text teaches students how to use stochastic processes efficiently. Carefully balancing mathematical rigor and ease of e

We propose results of the investigation of the problem of mean square optimal estimation of linear functionals constructed from unobserved values of stationary

The purpose of the workshop was to bring together researchers working in a broad spectrum of nonstationary stochastic processes to present their findings and te

Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book g