Statistics of random processes tome II - Applications

Robert S. Liptser - Collection Applications of mathematics

402 pages, parution le 19/04/2004 (2^eme édition)

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Résumé

The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.

Sommaire

Conditionally Gaussian processes.
Optimal nonlinear filtering, interpolation, and extrapolation of components of conditionally Gaussian processes.
Conditionally Gaussian sequences:filtering and related problems.
Application of filtering equations to problems of statistics of random sequences.
Linear Estimation of random processes.
Application of optimal nonlinear filtering equations to some problems in control theory and information theory.
Parameter estimation and testing of statistical hypotheses for diffusion type processes.
Random point processes: Stieltjes stochastic integrals.
The structure of local martingales, absolute continuity of measures for point processes, and filtering.
Asymptotically optimal filtering

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Robert S. Liptser
Collection	Applications of mathematics
Parution	19/04/2004
Édition	2^eme édition
Nb. de pages	402
Format	16 x 24
Couverture	Relié
Poids	724g
Intérieur	Noir et Blanc
EAN13	9783540639282