Mathematical Statistics and Stochastic Processes

Index

A

Akaike criterion

Aliasing

Autocorrelation

partial

Autocovariance

empirical

B

Banach space

Basis space

Bayes limit

Bernoulli

scheme

variable

Berry–Esseen inequality

Bienaymé–Tchebychev inequality

Binomial approximation

Borel algebra

Borel–Cantelli lemma

Box–Cox transformation

Brown

Brownian motion

C

Cauchy–Schwarz inequality

Chapman–Robbins inequality

Characteristic function

Complete classes

Conditional

likelihood equations

maximum likelihood method

Confidence

intervals

level

region

Consistent estimators of the spectral density

Convergence

almost sure

in distribution (or weak)

in mean

in mean square (or L2)

in probability

stochastic

Corner method

Counting

Covariance

empirical

matrix

Cramer–Rao-type inequalities

Critical region (or region of rejection)

D

Data analysis

Decision

function (d.f.)

admissible

generalized Baysian

optimal

unbiased

rules

sequential rules

space

theory

Deviations between probability distributions

Differentiation

Dispersion of a real random variable

Distribution

χ2

Bernoulli

beta

binomial

Cauchy

conditional

empirical

Fisher–Snedecor

function

empirical

Gamma

negative normal

normal (Gaussian)

of a Gaussian vector

of a process

Pareto

Poisson

Student’s

theoretical

two-dimensional normal

uniform

Dominated

Lebesgue convergence

probability space

Doob’s lemma

E

Efficiency

asymptotic relative

Einstein

Eliminating the seasonality

Empirical

analysis of the observations

moments

Error

of the first kind

of the second kind

Estimation

by explosion

Estimator

biased ...