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Statistics of random processes / Robert S. Liptser, Albert N. Shiryaev ; translated by A.B. Aries ; translation editor, Stephen S. Wilson.

By: Contributor(s): Material type: TextTextLanguage: English Original language: Russian Series: Applications of mathematics ; 5-6.Publisher: Berlin ; New York : Springer, [2001]Copyright date: ©2001Edition: 2nd, revised and expanded editionDescription: 2 volumes ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 3540639292
  • 9783540639299
  • 3540639284
  • 9783540639282
Uniform titles:
  • Statistika sluchaĭnykh prot︠s︡essov. English
Subject(s): DDC classification:
  • 519.23 22
LOC classification:
  • QA274 .L5713 2001
Contents:
1. General theory -- 2. Applications.
Summary: "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."--Publisher description.
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Holdings
Item type Current library Call number Vol info Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 519.23 LIP (Browse shelf(Opens below)) Vol. 1 1 Available A326292B
Book City Campus City Campus Main Collection 519.23 LIP (Browse shelf(Opens below)) Vol. 2 1 Available A508256B

Includes bibliographical references and index.

1. General theory -- 2. Applications.

"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."--Publisher description.

Machine converted from AACR2 source record.

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