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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics) - Hardcover
Synopsis
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.
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About the Author
Robert Elliott is the RBC Financial Group Professor of Finance at the University of Calgary, Canada.
Review
"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
"About this title" may belong to another edition of this title.
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Measure Theory and Filtering: Introduction and Applications. (Cambridge Series in Statistical and Probabilistic Mathematics)
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Condition: Very Good. *Price HAS BEEN REDUCED by 10% until Tuesday, Sept. 2 (holiday SALE item)* 258 pp., hardcover, previous owner's inscription to front free endpaper else very good. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Seller Inventory # ZB1316613
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Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)
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Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
Published by
Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
Published by
Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Measure Theory and Filtering: Introduction and Applications (Hardcover)
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Cambridge University Press, Cambridge, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Hardcover. Condition: new. Hardcover. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780521838030
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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MEASURE THEORY AND FLITERING INTRODUCTION WITH APPLICATIONS (HB 2004)
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CAMBRIDGE UNIVERSITY PRESS, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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Condition: Brand New. Brand New! Fast Delivery US Edition and ship within 24-48 hours. Deliver by FedEx and Dhl, & Aramex, UPS, & USPS and we do accept APO and PO BOX Addresses. Order can be delivered worldwide within 7-10 days and we do have flat rate for up to 2LB. Extra shipping charges will be requested if the Book weight is more than 5 LB. This Item May be shipped from India, United states & United Kingdom. Depending on your location and availability. Seller Inventory # CBS 9780521838030
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Measure Theory and Filtering: Introduction and Applications
Published by
Cambridge University Press, 2004
ISBN 10: 0521838037
ISBN 13: 9780521838030
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