Abstract
A stochastic process or random process consists of chronologically ordered random variables {X t ; t ≥ 0}. For simplicity we assume that the process starts at time t = 0 in X 0 = 0. In this chapter, we consider exclusively processes in discrete time, i.e. processes which are observed at equally spaced points of time t = 0, 1, 2,... . Typical examples are daily, monthly or yearly observed economic data as stock prices, rates of unemployment or sales amount.
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