Measure Theory and Filtering Introduction with Applications |
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| Author:
| Aggoun, Lakhdar
Elliott, Robert |
| Contribution by:
| Gill, R.
Ripley, B. D.
Ross, S.
Stein, M.
Williams, D.
Silverman, B. |
| Series title: | Cambridge Series in Statistical and Probabilistic Mathematics Ser. |
| ISBN: | 978-0-521-83803-0 |
| Publication Date: | Sep 2004 |
| Publisher: | Cambridge University Press
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| Book Format: | Hardback |
| List Price: | AUD $132.95 |
Book Description:
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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,...
More DescriptionAimed 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.