Non-Stationary Stochastic Processes Estimation: Vector Stationary Increments, Periodically Stationary Multi-Seasonal Increments

The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observations from noise, is magnified in an information-laden word. Methods of stochastic processes estimation depend on two main factors.

The first factor is construction of a model of the process being investigated.

The second factor is the available information about the structure of the process under consideration. In this book, we prop...