Measure Theory and Filtering: Introduction and Applications (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)

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Measure Theory and Filtering: Introduction and Applications (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15) image
ISBN-10:

1107410711

ISBN-13:

9781107410718

Edition: Reprint
Released: Oct 04, 2012
Format: Paperback, 270 pages
Related ISBN: 9780521838030

Description:

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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