The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, ...
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The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.
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Add this copy of Measure Theory and Filtering: Introduction and to cart. $28.66, very good condition, Sold by Zubal Books rated 4.0 out of 5 stars, ships from Cleveland, OH, UNITED STATES, published 2004 by Cambridge University.
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New. Print on demand Trade paperback (US). Cambridge Series in Statistical and Probabilistic Mathematics . Intended for professional and scholarly audience.
Add this copy of Measure Theory and Flitering Introduction With to cart. $76.71, new condition, Sold by Books International rated 3.0 out of 5 stars, ships from Toronto, ON, CANADA, published 2004 by Cambridge University Press.
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Add this copy of Measure Theory and Filtering: Introduction With to cart. $82.57, new condition, Sold by Just one more Chapter rated 3.0 out of 5 stars, ships from Miramar, FL, UNITED STATES, published 2004 by Cambridge University Press.
