Synopsis
The authors stick to the basics in describing the process of observing moving objects when the observations are corrupted by random errors, filtering out the errors and extracting the most precise information possible, and then predicting the future path of the object from past behavior. They do so as accessibly as possible without significantly reducing rigor, giving students a solid background in such prerequisites for studying filtering and prediction as series, probability concepts and conditioning in the discrete case. With plenty of examples and exercises, they cover Markov chains, filtering of discrete Markov chains, conditional expectations, filtering of continuous-space Markov chains, Wiener process and continuous time filtering, stationary sequences and prediction of stationary sequences. The result is a handy guide not only for students but for nonspecialist professionals or those who need to review basic concepts. Annotation ©2007 Book News, Inc., Portland, OR (booknews.com)
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Review
"The book is written in an elementary way but it is still mathematically rigorous. The book can be recommended to all students interested in stochastic models." ---- EMS Newsletter
"The book is well-written and provides a very nice basis for lecturing about this topic." ---- Zentralblatt MATH
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Filtering and Prediction
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American Mathematical Society, US, 2007
ISBN 10: 0821843338
ISBN 13: 9780821843338
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Paperback. Condition: New. Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. The main focus is then on filtering out the errors and extracting from the observations the most precise information about the object, which itself may or may not be moving in a somewhat random fashion. Next comes the prediction step where, using information about the past behavior of the object, one tries to predict its future path. The first three chapters of the book deal with discrete probability spaces, random variables, conditioning, Markov chains, and filtering of discrete Markov chains. The next three chapters deal with the more sophisticated notions of conditioning in nondiscrete situations, filtering of continuous-space Markov chains, and of Wiener process. Filtering and prediction of stationary sequences is discussed in the last two chapters. The authors believe that they have succeeded in presenting necessary ideas in an elementary manner without sacrificing the rigor too much. Such rigorous treatment is lacking at this level in the literature.In the past few years the material in the book was offered as a one-semester undergraduate/beginning graduate course at the University of Minnesota. Some of the many problems suggested in the text were used in homework assignments. Seller Inventory # LU-9780821843338
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Filtering and Prediction A Primer
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Filtering and Prediction: A Primer (Volume 38)
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Filtering and Prediction: A Primer (Student Mathematical Library)
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American Mathematical Society, 2007
ISBN 10: 0821843338
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Condition: New. Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. This title includes chapters that deal with discrete probability spaces, random variables, conditioning, Markov chains, and filtering of discrete Markov chains. It also discusses filtering and prediction of stationary sequences. Series: Student Mathematical Library. Num Pages: 252 pages. BIC Classification: PBT. Category: (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 216 x 138 x 14. Weight in Grams: 314. . 2007. Paperback. . . . . Seller Inventory # V9780821843338
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Filtering and Prediction: A Primer (Student Mathematical Library)
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Condition: New. Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. This title includes chapters that deal with discrete probability spaces, random variables, conditioning, Markov chains, and filtering of discrete Markov chains. It also discusses filtering and prediction of stationary sequences. Series: Student Mathematical Library. Num Pages: 252 pages. BIC Classification: PBT. Category: (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 216 x 138 x 14. Weight in Grams: 314. . 2007. Paperback. . . . . Books ship from the US and Ireland. Seller Inventory # V9780821843338
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Filtering and Prediction: A Primer
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Filtering and Prediction
Published by
American Mathematical Society, US, 2007
ISBN 10: 0821843338
ISBN 13: 9780821843338
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Paperback. Condition: New. Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. The main focus is then on filtering out the errors and extracting from the observations the most precise information about the object, which itself may or may not be moving in a somewhat random fashion. Next comes the prediction step where, using information about the past behavior of the object, one tries to predict its future path. The first three chapters of the book deal with discrete probability spaces, random variables, conditioning, Markov chains, and filtering of discrete Markov chains. The next three chapters deal with the more sophisticated notions of conditioning in nondiscrete situations, filtering of continuous-space Markov chains, and of Wiener process. Filtering and prediction of stationary sequences is discussed in the last two chapters. The authors believe that they have succeeded in presenting necessary ideas in an elementary manner without sacrificing the rigor too much. Such rigorous treatment is lacking at this level in the literature.In the past few years the material in the book was offered as a one-semester undergraduate/beginning graduate course at the University of Minnesota. Some of the many problems suggested in the text were used in homework assignments. Seller Inventory # LU-9780821843338
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Filtering and Prediction: A Primer (Student Mathematical Library)
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