Measure theory and filtering: introduction and applications
Lakhdar Aggoun, Robert J. Elliott
Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion, but develops into an excellent user's guide to filtering. Including exercises for students, it will be a complete resource for engineers, signal processing researchers or anyone with an interest in practical implementation of filtering techniques, in particular, the Kalman filter. Three separate chapters concentrate on applications arising in finance, genetics and population modelling.
Kateqoriyalar:
İl:
2004
Nəşr:
1
Nəşriyyat:
Cambridge University Press
Dil:
english
Səhifələr:
270
ISBN 10:
0521838037
ISBN 13:
9780521838030
Seriyalar:
Cambridge Series in Statistical and Probabilistic Mathematics
Fayl:
PDF, 1.16 MB
IPFS:
,
english, 2004