In this chapter, we introduce the model of interest—a second-order stationary process. We will recall some key concepts and results from the theory of stationary processes, including spectral representations of the covariance function and stationary processes, Hilbert spaces associated with stationary processes, Kolmogorov’s isometric isomorphism theorem, linear processes, and dependence (memory) structures of the model. Additionally, we will discuss single and multiple stochastic integrals with respect to random measures, as well as various representations of second-order processes, including the Karhunen-Loève orthogonal series representation and RKHS representation, among others.