Measure theory and filtering : introduction and applications
Material type:
TextSeries: Publication details: Cambridge, UK New York Cambridge University Press 2004Description: x, 258 pISBN: 0521838037 (hardback)Subject(s): Measure theory | Kalman filteringDDC classification: 515.42 Online resources: Not Available | Not Available | Not Available Summary: 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.
| Item type | Current library | Collection | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
BK
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Stack | Stack | 515.42 AGG/M (Browse shelf (Opens below)) | Available | 59462 |
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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