De Gruyter Continuous-Parameter Time Series Mathematics Book

Master the complexities of continuous-parameter time series with this comprehensive volume from De Gruyter Studies in Mathematics. This book offers a self-contained account of time series analysis, beginning with a foundational look at second-order models. It provides a deep dive into spectral theory, linear prediction, and integration with respect to orthogonal increment processes. For researchers and students looking to expand their mathematical toolkit, this text incorporates Levy-driven models. This extension allows for the study of infinite variance, various marginal distributions, and sample paths that include jumps. The text develops the necessary theory of Levy processes and the integration of deterministic functions in great detail. Readers will find a focused examination of continuous-time ARMA processes, making this an essential resource for those working in mathematical modelling and advanced statistical theory. Whether you are studying stochastic processes or advanced mathematics, this book provides the rigorous theoretical framework needed for high-level research.