Statistical Analysis of Stochastic Processes in Time

Cambridge Series in Statistical and Probabilistic Mathematics #14

by J.K. Lindsey

This book was first published in 2004. Many observed phenomena, from the changing health of a patient to values on the stock market, are characterised by quantities that vary over time: stochastic processes are designed to study them. This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost 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. Software (available from www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.

338 pages, Kindle Edition

First published August 2, 2004

Reviews

[Andrewcharles420 · Rating 3 out of 5]

Good introduction to many statistical tools for analyzing various random processes in time. I could have used more frequent explicit numerical calculations and/or answers to exercises. I would also liked to have better understood the meanings of the best fit parameters in the various models described in the examples, but part of that lack of understanding is my lack of familiarity and application of several of the candidate distributions.