Statistics of Random Processes : II. Applications / by Robert S. Liptser, Albert N. Shiryaev.
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 required mathematical background is presented in the first...
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Full Text (via Springer) |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2001.
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| Edition: | Second, rev. and Expanded edition. |
| Series: | Stochastic modelling and applied probability ;
6. |
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Table of Contents:
- 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.