Visit our Christmas Gift Finder
Click & Collect from 2 Hours
Last Christmas Delivery Dates
Free UK Standard Delivery on orders £20 and over Order in time for Christmas 18th December 2nd Class | 19th December 1st Class Free Click & Collect to shops From 2 hours of your order*
Cambridge Series in Statistical and Probabilistic Mathematics: Measure Theory and Filtering: Introduction and Applications Series Number 15 (Paperback)
  • Cambridge Series in Statistical and Probabilistic Mathematics: Measure Theory and Filtering: Introduction and Applications Series Number 15 (Paperback)
zoom

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

(author), (author)
£39.99
Paperback 270 Pages / Published: 04/10/2012
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
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.

Publisher: Cambridge University Press
ISBN: 9781107410718
Number of pages: 270
Weight: 440 g
Dimensions: 244 x 170 x 14 mm


MEDIA REVIEWS
Review of the hardback: '... useful to those students and scientists in signal processing, mathematical finance and genetics, wishing to incorporate measure-theoretic probability techniques into their predictions. It is also an excellent user's guide to filtering with interesting applications arising in difference arenas.' Journal of Applied Statistics
"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

You may also be interested in...

Statistics Essentials For Dummies
Added to basket
The Theory That Would Not Die
Added to basket
Probability
Added to basket
£26.49
Paperback
Quantitative Methods
Added to basket
New Cambridge Statistical Tables
Added to basket
Principles of Statistics
Added to basket
Bayesian Reasoning and Machine Learning
Added to basket
Naked Statistics
Added to basket
£12.99
Paperback
The Elements of Statistical Learning
Added to basket
Data Analysis
Added to basket
£31.99
Paperback

Reviews

Please sign in to write a review

Your review has been submitted successfully.