Linear Processes in Function Spaces. - Theory and Applications

The main subject of this book is the estimation and forecasting of continuous time processes. It leads to the development of the theory of linear processes in function spaces. The necessary mathematical tools are presented in Chapters 1 and 2. Chapters 3 to 6 deal with autoregressive processes in Hilbert and Banach spaces. Chapter 7 is devoted to general linear processes and Chapter 8 to statistical prediction. Implementation and numerical applications appear in Chapter 9. The book assumes a knowledge of classical probability theory and statistics.