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Stochastic Processes and Filtering Theory
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Stochastic Processes and Filtering Theory Paperback - 2007

by Andrew H. Jazwinski

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Reader reviews for Stochastic Processes and Filtering Theory

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This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well.
Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.

Details

  • Title Stochastic Processes and Filtering Theory
  • Author Andrew H. Jazwinski
  • Binding Paperback
  • Pages 400
  • Volumes 1
  • Language ENG
  • Publisher Dover Publications
  • Publication date 2007-11-12
  • Illustrated Yes
  • Features Bibliography, Illustrated, Index, Price on Product - Canadian, Table of Contents
  • ISBN 9780486462745 / 0486462749
  • Weight 0.89 lbs (0.40 kg)
  • Dimensions 8.51 x 6.07 x 0.76 in (21.62 x 15.42 x 1.93 cm)
  • Category Mathematics
  • Library of Congress subjects Bayesian statistical decision theory, Stochastic processes
  • Library of Congress Catalogue Number 2007019215
  • Dewey Decimal Code 519.544

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Stochastic Processes and Filtering Theory

Stochastic Processes and Filtering Theory

by Andrew H. Jazwinski

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Stochastic Processes and Filtering Theory

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Stochastic Processes and Filtering Theory (Dover Books on Electrical Engineering)
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Stochastic Processes and Filtering Theory (Dover Books on Electrical Engineering)

by Andrew H. Jazwinski

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