Aggoun, Lakhdar
Measure theory and filtering : introduction and applications - Cambridge, UK New York Cambridge University Press 2004 - x, 258 p. - Cambridge series in statistical and probabilistic mathematics .
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.
0521838037 (hardback)
2004040397
Measure theory
Kalman filtering
515.42 / AGG/M
Measure theory and filtering : introduction and applications - Cambridge, UK New York Cambridge University Press 2004 - x, 258 p. - Cambridge series in statistical and probabilistic mathematics .
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.
0521838037 (hardback)
2004040397
Measure theory
Kalman filtering
515.42 / AGG/M