Statistics Of Random Processes

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Statistics Of Random Processes I

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Author : R.S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11

Statistics Of Random Processes I written by R.S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Mathematics categories.

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

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Author : R.S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17

Statistics Of Random Processes Ii written by R.S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.

Statistics Of Random Processes Ii

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Author : Robert S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14

Statistics Of Random Processes Ii written by Robert S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Mathematics categories.

At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes.

Statistics Of Random Processes Ii

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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher: Springer Science & Business Media
Release Date : 2001

Statistics Of Random Processes Ii written by Robert Shevilevich Lipt︠s︡er and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.

"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

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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher:
Release Date : 1977

Statistics Of Random Processes written by Robert Shevilevich Lipt︠s︡er and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Mathematical statistics categories.

Probability Statistics And Random Processes For Engineers

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Author : Henry Stark
language : en
Publisher:
Release Date : 2012

Probability Statistics And Random Processes For Engineers written by Henry Stark and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Engineering categories.

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.

Statistics Of Random Processes Applications

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Author : Robert Shevilevich Lipt͡ser
language : en
Publisher:
Release Date : 1977

Statistics Of Random Processes Applications written by Robert Shevilevich Lipt͡ser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Mathematical statistics categories.

Statistics Of Random Processes

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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher:
Release Date : 1977

Statistics Of Random Processes written by Robert Shevilevich Lipt︠s︡er and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Mathematical statistics categories.

Probability Statistics And Random Processes

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Author : P. Kousalya
language : en
Publisher:
Release Date : 2013

Probability Statistics And Random Processes written by P. Kousalya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Statistics categories.

Statistics And Control Of Random Processes

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Author : A. A. Novikov
language : en
Publisher: American Mathematical Soc.
Release Date : 1994

Statistics And Control Of Random Processes written by A. A. Novikov and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Mathematics categories.

This book contains papers by participants in two seminars, one on martingales and statistics of stochastic processes, and one on sequential analysis, both of which were held at the Steklov Institute of the Russian Academy of Sciences. The papers develop the concepts of martingales and seminmartingales and stochastic calculus for them, as well as their applications in statistics and control of stochastic processes. The class of semimartingales - that is, the class of all processes which can be represented as a sum of a martingale and a process with bounded variation - is rather large. It contains such important processes as Brownian motion, Poisson processes, solutions of stochastic differential equations, and others. The papers treat theoretical aspects of statistics of stochastic processes as well as specific models of stochastic processes from the standpoint of their statistics and control. The collection is intended for undergraduate and graduate students and researchers in probability theory and mathematical statistics.