Hide menu

Stationary and cyclostationary stochastic processes/
Stationära och cykliskt stationära stokastiska processer

Number of credits: 6 hp

Examiner: Timo Koski

Course literature:

  • Georg Lindgren (2004): Stationary Stochastic Processes.
  • Harry Hurd (2006): Notes on cyclostationary processes, Dept. of Statistics, UNC.

Course contents: The course presents the basic topics in the classical theory of stationary processes: basic definitions, gaussian processes, quadratic mean properties, sample function and quadratic mean continuity, level crossings, prediction, the Cramer-Wold representation, the Doob representation, spectral representations, some ergodic properties, Markovian representations.

The course is useful as a theoretical background for graduate students working, e.g., with time series data, telecommunications, control theory, and signal processing.


Examination: Presentations by participants. Home assignments.

Prerequisites: Basic familiarity with probability theory, preferably TAMS47 and/or TAMS46 .

Page manager: karin.johansson@liu.se
Last updated: 2014-04-29