Goal: to provide an introduction into stochastic processes as curves in Hilbert space of finite second order random variables
Course description: Introduction to the correlation and spectral theory of stochastic processes enables the build the forecasting, filtration and smoothing problems solution when the model depends on both random and continuous/time variables. The Hinčin formula for the spectral representation of the correlation function, Karhunan-Cramér theorem and Wiener-Hopf equation are used in estimation of weakly stationary stochastic processes.
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