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612-822-4611
Measure Theory and Filtering

Measure Theory and Filtering

Hardcover

Series: Cambridge Statistical and Probabilistic Mathematics, Book 15

Probability & Statistics

ISBN10: 0521838037
ISBN13: 9780521838030
Publisher: Cambridge
Published: Sep 13 2004
Pages: 270
Weight: 1.41
Height: 0.90 Width: 7.10 Depth: 10.10
Language: English
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.

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Probability & Statistics