Statistics of Random Processes I

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Mathematics
Statistics of Random Processes I

Statistics of Random Processes I

Robert S. Liptser, Albert N. Shiryaev

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These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.

Categories:

Mathematics

Year:

2000

Edition:

2nd rev. and exp. ed.

Publisher:

Springer

Language:

english

Pages:

208