The book is concerned with linear time series and random fields in both the Gaussian and especially the non-Gaussian context. The principal focus is on autoregressive moving average models and analogous random fields. Probabilistic and statistical questions are both discussed. The Gaussian models are contrasted with noncausal or noninvertible (nonminimum phase) non-Gaussian models which can have a much richer structure than Gaussian models. The book deals with problems of prediction (which can have a nonlinear character) and estimation. New results for nonminimum phase non-Gaussian processes are exposited and open questions are noted. The book is intended as a text for graduate students in statistics, mathematics, engineering, the natural sciences and economics. An initial background in probability theory and statistics is suggested. Notes on background, history and open problems are given at the end of the book. Murray Rosenblatt is Professor of Mathematics at the University of California, San Diego. He was a Guggenheim Fellow in 1965 and 1972 and is a member of the National Academy of Sciences, U.S.A. He is the author of Random Processes (1962), Markov Processes: Structure and Asymptotic Behavior (1971), Stationary Sequences and Random Fields (1985), and Stochastic Curve Estimation (1991).

The principal focus here is on autoregressive moving average models and analogous random fields, with probabilistic and statistical questions also being discussed. The book contrasts Gaussian models with noncausal or noninvertible (nonminimum phase) non-Gaussian models and deals with problems of prediction and estimation. New results for nonminimum phase non-Gaussian processes are exposited and open questions are noted. Intended as a text for gradutes in statistics, mathematics, engineering, the natural sciences and economics, the only recommendation is an initial background in probability theory and statistics. Notes on background, history and open problems are given at the end of the book.