Springer-Verlag, 1977. Two-Volume Set; covers lightly rubbed/bumped/soiled, spines/front board of Vol. II sunned; edges very lightly sunned/soiled; faint pencil erasuers at ffeps; binding tight; cover, edges and interior intact and clean, except where noted. hardcover. Good.

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Bibliographic Details

Title

Statistics of Random Processes: Vol. I - General Theory; Vol. II - Applications

Publisher

Springer-Verlag

Publication Date

1977

Language

English

ISBN 10

0387902260

ISBN 13

9780387902265

Binding

Hardcover

Condition

Good

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About this title

Synopsis

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.

Language Notes

Text: English (translation)
Original Language: Russian

"About this title" may belong to another edition of this title.

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