Periodically Correlated Random Sequences: Spectral Theory and Practice

Description

This much-needed reference and textbook surveys spectral theory and practice and introduces readers to periodically correlated random sequences. Comprehensively combining theory, application, and computing, this is a major exploration of a neglected but increasingly key area. The book features a time series for determining when an observed time series has the PC structure. Discussion covers how unitary operators fit into the big picture, and how the spectral theory of unitary operators applies to PC processes. Coverage also includes material on multivariate PC sequences and fields (including PARMA). The book contains numerous exercise sets and an extensive collection of references on the subject matter, along with a companion FTP site.

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