Measure Theory and Filtering di Lakhdar Aggoun, Robert J. Elliott edito da Cambridge University Press
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Measure Theory and Filtering

Introduction And Applications

EAN:

9780521838030

ISBN:

0521838037

Pagine:
270
Formato:
Hardback
Lingua:
Inglese
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Descrizione Measure Theory and Filtering

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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