Statistics Of Random Processes

Author by : Robert Liptser
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 94
Total Download : 777
File Size : 55,7 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 : 99
Total Download : 975
File Size : 45,8 Mb
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Description : "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW


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 : 44
Total Download : 269
File Size : 52,9 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 : 54
Total Download : 963
File Size : 47,8 Mb
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Description :


Statistics Of Random Processes

Author by :
Language : en
Publisher by :
Format Available : PDF, ePub, Mobi
Total Read : 94
Total Download : 893
File Size : 40,9 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 : 57
Total Download : 780
File Size : 42,6 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;)


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 : 26
Total Download : 174
File Size : 49,9 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 And Control Of Stochastic Processes The Liptser Festschrift

Author by : Kabanov Yu M
Language : en
Publisher by : World Scientific
Format Available : PDF, ePub, Mobi
Total Read : 11
Total Download : 811
File Size : 50,5 Mb
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Description : This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.


Introduction To Probability Statistics And Random Processes

Author by : Hossein Pishro-Nik
Language : en
Publisher by :
Format Available : PDF, ePub, Mobi
Total Read : 24
Total Download : 245
File Size : 45,8 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.


Probability Statistics And Random Processes For Engineers

Author by : Henry Stark
Language : en
Publisher by : Prentice Hall
Format Available : PDF, ePub, Mobi
Total Read : 10
Total Download : 406
File Size : 54,6 Mb
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Description : Previous edition published as: Probability and random processes with applications to signal processing. c2002.