22.09.2022 | Forschung | Studierende

‘Stationary Stochastic Models’ by Riccardo Gatto

In his new book, Riccardo Gatto presents a unified introduction to stationary time series models and to continuous time stationary processes.

Stationary Stochastic Models

The monograph covers classical topics in times series modelling such as ARMA models, linear filters, and analysis in the frequency domain. After generalising to continuous time processes, it also builds a bridge to more general concepts such as random fields and intrinsic stationarity. The book is rounded off by a tour d'horizon of selected topics such as the simulation of stationary Gaussian processes, time series for planar directions, large deviations approximations and connections to information theory.

Riccardo Gatto is an associate Professor at the IMSV. His research interests include the spectral analysis of stationary processes, stochastic models for directional data, stochastic simulation of rare events, as well as asymptotic approximations and actuarial risk theory.