Measure Theory and Filtering: Introduction and Applications
(Book #15 in the Cambridge Series in Statistical and Probabilistic Mathematics Series)
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Book Overview
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.
Format:Hardcover
Language:English
ISBN:0521838037
ISBN13:9780521838030
Release Date:September 2004
Publisher:Cambridge University Press
Length:270 Pages
Weight:1.45 lbs.
Dimensions:0.9" x 7.1" x 10.1"
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