Statistics of Random Processes : I. General Theory / 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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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Liptser, Robert S.
Other Authors:	Shiri︠a︡ev, A. N. (Alʹbert Nikolaevich)
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 2001.
Edition:	Second, rev. and Expanded edition.
Series:	Applications of mathematics ; 5.
Subjects:	Mathematics. Distribution (Probability theory) Mathematical statistics.