Measure theory and filtering: introduction and application
By: Aggoun, Lakhdar
.
Contributor(s): Elliot, Robert J.
Series: Cambridge series in statistical and probabilistic mathematics. Publisher: UK Cambridge University Press 2004Description: x + 258 p.ISBN: 0521838037.Subject(s): Measure theory | Kalman filteringDDC classification: 515 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 location | Item location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
| Books | Vikram Sarabhai Library | Slot 1370 (0 Floor, East Wing) | 515 A4M3 (Browse shelf) | Available | 161273 |
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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