Measure Theory and Filtering
Introduction and Applications
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$60.00 ( )
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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.Read more
- Many non-statistics readers are put off the subject by rigorous theory; this book begins by explaining the basics to an outside audience
- Book develops into an excellent reference for engineers, signal processing researchers and anyone interested in filtering
- Contains exercises and three chapters outlining applications in mathematical finance, genetics and population modelling
Reviews & endorsements
"It is well written and self-contained. I am convinced that it will raise a lot of interest and remain a reference for a long time to come." Alain Bensoussan, University of Texas at Dallas
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- Date Published: November 2006
- format: Adobe eBook Reader
- isbn: 9780511227684
- availability: Adobe Reader ebooks available from eBooks.com
Table of Contents
Part I. Theory:
1. Basic probability concepts
2. Stochastic processes
3. Stochastic calculus
4. Change of measures
Part II. Applications:
5. Kalman filtering
6. Financial applications
7. A genetics model
8. Hidden populations.
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