Measure Theory and Filtering
Introduction and Applications
$42.00 ( ) USD
Adobe eBook Reader
Looking for an examination copy?
If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact firstname.lastname@example.org providing details of the course you are teaching.
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
Not yet reviewed
Be the first to review
Review was not posted due to profanity×
- Date Published: November 2006
- format: Adobe eBook Reader
- isbn: 9780511227684
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
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.
Find resources associated with this titleYour search for '' returned .
Type Name Unlocked * Format Size
*This title has one or more locked files and access is given only to instructors adopting the textbook for their class. We need to enforce this strictly so that solutions are not made available to students. To gain access to locked resources you either need first to sign in or register for an account.
These resources are provided free of charge by Cambridge University Press with permission of the author of the corresponding work, but are subject to copyright. You are permitted to view, print and download these resources for your own personal use only, provided any copyright lines on the resources are not removed or altered in any way. Any other use, including but not limited to distribution of the resources in modified form, or via electronic or other media, is strictly prohibited unless you have permission from the author of the corresponding work and provided you give appropriate acknowledgement of the source.
If you are having problems accessing these resources please email email@example.com
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email firstname.lastname@example.orgRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×