create a complicated table

Like Werner's answer but without \raisebox and with \multirows.

I've also used \setlength\extrarowheight{2pt} for better vertical spacing.

\documentclass{article}
\usepackage{caption,makecell}
\captionsetup[table]{
  labelfont = sc,
  labelsep = period,
  textfont = bf
}
\usepackage{multirow}

\begin{document}

\begin{table}
  \centering\setlength\extrarowheight{2pt}
  \caption{Markov processes classified into four basic types}
  \begin{tabular}{ c | c | c | c | }
    \multicolumn{2}{c}{} & \multicolumn{2}{c}{State space} \\
    \cline{3-4}
    \multicolumn{2}{c}{} & \multicolumn{1}{c}{Discrete} & \multicolumn{1}{c}{Continuous} \\
    \cline{3-4}
    \multirow{4}{*}{\makecell{Nature of\\ parameter}} & 
      \multirow{2}{*}{Discrete} & Discrete parameter  & Discrete parameter  \\[-2pt]
    & &  Markov chain &  Markov process \\
    \cline{3-4}
    & \multirow{2}{*}{Continuous} & Continuous parameter  & Continuous parameter  \\[-2pt]
        &  &  Markov chain &  Markov process \\
    \cline{3-4}
  \end{tabular}
\end{table}

\end{document}

The following should provide you with a complete foundation:

• caption to format the table captions;

• General layout of the 2D structure

\documentclass{article}

\usepackage{caption,makecell,graphicx}

\captionsetup[table]{
  labelfont = sc,
  labelsep = period,
  textfont = bf
}

\begin{document}

\begin{table}
  \centering
  \caption{Markov processes classified into four basic types}
  \begin{tabular}{ c | c | c | c | }
    \multicolumn{2}{c}{} & \multicolumn{2}{c}{State space} \\
    \cline{3-4}
    \multicolumn{2}{c}{} & \multicolumn{1}{c}{Discrete} & \multicolumn{1}{c}{Continuous} \\
    \cline{3-4}
    \raisebox{-\normalbaselineskip}[0pt][0pt]{\makecell{Nature of \\ parameter}} & 
      Discrete & \makecell{Discrete parameter \\ Markov chain} & \makecell{Discrete parameter \\ Markov process} \\
    \cline{3-4}
    &
      Continuous & \makecell{Continuous parameter \\ Markov chain} & \makecell{Continuous parameter \\ Markov process} \\
    \cline{3-4}
  \end{tabular}
\end{table}

\end{document}