Time Series (Authors Michael Hauser and Wolfgang Hörmann)

  • Wolfgang Hörmann
  • Josef Leydold
  • Gerhard Derflinger
Part of the Statistics and Computing book series (SCO)

Abstract

In this chapter we are concerned with times series, i.e. with the generation of sample paths of stochastic non-deterministic processes in discrete time, (X t ,t ∈ ℤ), where X t are continuous random variates. In the first part we will focus our presentation on stationary Gaussian processes. These are most widely used in the analysis of, e.g., economic series or in signal processing.

Keywords

Covariance Expense Autocorrelation Convolution Tral 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Wolfgang Hörmann
    • 1
  • Josef Leydold
    • 2
  • Gerhard Derflinger
    • 2
  1. 1.Dept. of Industrial EngineeringBogazici UniversityIstanbulTurkey
  2. 2.Dept. for Applied Statistics & Data ProcessingUniversity of Economics and Business AdministrationWienAustria

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