Statistics Of Random Processes

Author by : Robert Liptser
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 93
Total Download : 718
File Size : 42,7 Mb
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Description : These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.


Statistics Of Random Processes Ii

Author by : Robert S. Liptser
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 57
Total Download : 815
File Size : 40,5 Mb
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Description : 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 volume: the theory of martingales, stochastic differential equations, the absolute continuity of probability measures for diffusion and Ito processes, elements of stochastic calculus for counting processes. 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.


Statistics Of Random Processes I

Author by : R.S. Liptser
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 30
Total Download : 223
File Size : 50,6 Mb
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Description : A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;)


Statistics Of Random Processes Ii

Author by : R.S. Liptser
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 9
Total Download : 977
File Size : 45,5 Mb
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Description :


Statistics Of Random Processes I

Author by : R.S. Liptser
Language : en
Publisher by : Springer
Format Available : PDF, ePub, Mobi
Total Read : 21
Total Download : 711
File Size : 42,7 Mb
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Description : A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;)


Probability Theory Random Processes And Mathematical Statistics

Author by : Y. Rozanov
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 25
Total Download : 316
File Size : 48,6 Mb
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Description : Probability Theory, Theory of Random Processes and Mathematical Statistics are important areas of modern mathematics and its applications. They develop rigorous models for a proper treatment for various 'random' phenomena which we encounter in the real world. They provide us with numerous tools for an analysis, prediction and, ultimately, control of random phenomena. Statistics itself helps with choice of a proper mathematical model (e.g., by estimation of unknown parameters) on the basis of statistical data collected by observations. This volume is intended to be a concise textbook for a graduate level course, with carefully selected topics representing the most important areas of modern Probability, Random Processes and Statistics. The first part (Ch. 1-3) can serve as a self-contained, elementary introduction to Probability, Random Processes and Statistics. It contains a number of relatively sim ple and typical examples of random phenomena which allow a natural introduction of general structures and methods. Only knowledge of elements of real/complex analysis, linear algebra and ordinary differential equations is required here. The second part (Ch. 4-6) provides a foundation of Stochastic Analysis, gives information on basic models of random processes and tools to study them. Here a familiarity with elements of functional analysis is necessary. Our intention to make this course fast-moving made it necessary to present important material in a form of examples.


Statistics Of Random Processes

Author by : Robert Shevilevich Lipt︠s︡er
Language : en
Publisher by : Springer Verlag
Format Available : PDF, ePub, Mobi
Total Read : 18
Total Download : 399
File Size : 50,5 Mb
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Description :


Probability Statistics And Random Processes

Author by : Veerarajan
Language : en
Publisher by : Tata McGraw-Hill Education
Format Available : PDF, ePub, Mobi
Total Read : 42
Total Download : 287
File Size : 53,7 Mb
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Description :


Probability Statistics And Random Processes For Engineers

Author by : Henry Stark
Language : en
Publisher by :
Format Available : PDF, ePub, Mobi
Total Read : 42
Total Download : 202
File Size : 41,9 Mb
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Description : For courses in Probability and Random Processes. Probability, Statistics, and Random Processes for Engineers, 4e is a comprehensive treatment of probability and random processes that, more than any other available source, combines rigor with accessibility. Beginning with the fundamentals of probability theory and requiring only college-level calculus, the book develops all the tools needed to understand more advanced topics such as random sequences, continuous-time random processes, and statistical signal processing. The book progresses at a leisurely pace, never assuming more knowledge than contained in the material already covered. Rigor is established by developing all results from the basic axioms and carefully defining and discussing such advanced notions as stochastic convergence, stochastic integrals and resolution of stochastic processes.


Introduction To Probability Statistics And Random Processes

Author by : Hossein Pishro-Nik
Language : en
Publisher by :
Format Available : PDF, ePub, Mobi
Total Read : 96
Total Download : 139
File Size : 49,8 Mb
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Description : The book covers basic concepts such as random experiments, probability axioms, conditional probability, and counting methods, single and multiple random variables (discrete, continuous, and mixed), as well as moment-generating functions, characteristic functions, random vectors, and inequalities; limit theorems and convergence; introduction to Bayesian and classical statistics; random processes including processing of random signals, Poisson processes, discrete-time and continuous-time Markov chains, and Brownian motion; simulation using MATLAB and R.