Mathematical Sciences

Lund University

Stationary Stochastic Processes

Official Course Description

Description

Models for stochastic dependence. Concepts of description of stationary stochastic processes in the time domain: expectation, covariance, and cross-covariance functions. Concepts of description of stationary stochastic processes in the frequency domain: effect spectrum, cross spectrum. Special processes: Gaussian process, Wiener process, white noise, Gaussian fields in time and space. Stochastic processes in linear filters: relationships between in- and out-signals, auto regression and moving average (AR, MA, ARMA), derivation and integration of stochastic processes. The basics in statistical signal processing: estimation of expectations, covariance function, and spectrum. Application of linear filters: frequency analysis and optimal filters.

Finished Sessions