TY  - GEN
AU  - Aggoun, Lakhdar
AU  - Elliot, Robert J
TI  - Measure theory and filtering: introduction and application 
SN  - 0521838037
U1  - 515 
PY  - 2004///
CY  - UK
PB  - Cambridge University Press
KW  - Measure theory
KW  -  Kalman filtering
N2  - 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
ER  -