Stochastic Processes

• I: Introduction and Preliminaries.- II: Some Principles of Hypothesis Testing.- III: Parameter Estimation and Asymptotics.- IV: Inferences for Classes of Processes.- V: Likelihood Ratios for Processes.- VI: Sampling Methods for Processes.- VII: More on Stochastic Inference.- VIII: Prediction and Filtering of Processes.- IX: Nonparametric Estimation for Processes.- Notation index.- Author index.

'This is an impressive book ... of high mathematical quality and is written in a format with theorems and proofs. Each chapter ends with bibliographical notes, complements and exercises. The latter make the book also interesting for teaching graduate courses.' Publication of the International Statistical Institute 'Overall, the topics included cover a broad spectrum of processes and inference methods in a fairly comprehensive manner and in depth. The book is highly recommended reading.' Mathematical Reviews, 2002b