## Estimation of Stochastic Processes with Stationary Increments and Cointegrated SequencesEstimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes with stationary increments, including ARIMA processes, seasonal time series and a class of cointegrated sequences. |

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### Contents

Stationary Increments of Discrete Time Stochastic | 1 |

Extrapolation Problem for Stochastic Sequences with | 9 |

with Stationary nth Increments Based on Observations with | 53 |

class Pu v | 86 |

Filtering Problem of Stochastic Sequences with | 107 |

class Duv | 135 |

Filtering Problem for Stochastic Sequences with | 155 |

Stationary Increments of Continuous Time Stochastic | 181 |

Extrapolation Problem for Stochastic Processes with | 187 |

Interpolation Problem for Stochastic Processes with | 217 |

Filtering Problem for Stochastic Processes with | 239 |

Problems to Solve | 253 |

Appendix | 259 |

267 | |

281 | |