Editorial Reviews
Review
'... useful to those students and scientists in signal processing, mathematical finance and genetics, wishing to incorporate measure-theoretic probability techniques into their predictions. It is also an excellent user's guide to filtering with interesting applications arising in difference arenas.' Journal of Applied Statistics
Book Description
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.
Measure Theory and Filtering : Introduction and Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
Measure Theory and Filtering: Introduction and Applications (Cambridge Series in Statistical and Probabilistic Mathematics),Lakhdar Aggoun,Robert J. Elliott,R. Gill,B. D. Ripley,S. Ross,B. W. Silverman,M. Stein,Cambridge University Press,0521838037,General,Kalman filtering,Measure theory,Science,Science/Mathematics,Technology,Calculus & mathematical analysis,Communications engineering / telecommunications,Mathematics / Statistics,Probability & statistics
Discount Books:
Recommended Books