Measure Theory and Filtering

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.

Author: Lakhdar Aggoun, Robert J. Elliott
Publisher: Cambridge University Press
Published: 06/01/2004
Pages: 270
Binding Type: Hardcover
Weight: 1.41lbs
Size: 10.10h x 7.10w x 0.90d
ISBN: 9780521838030