Statistical analysis of stochastic processes in time

Cambridge

2004

338 S.

graph. Darst.

Monographie

0-521-83741-3

15069

124009

Many observed phenomena, from the chancing health of a patient to values on the stock market, are characterized by quantities that vary over time: stochastic processes are designed to study them. Much theoretical work has been done but virtually no modern books are available to show how the results can be applied. This book fills that gap by introducing practical methods of applying stochastic processes to an audience knowledgeable only in the basics of statistics. It covers almot all aspects of the subject and presents the theory in an easily accessible form that is highlighted by application to many examples. These examples arise from dozens of areas, from sociology through medicine to engineering. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Softwäre is provided within the freely available R system for the reader to be able to apply all the models presented.