Code: 01423256

Stochastic Processes

Name: Stochastic Processes
Brand: Springer, Berlin
SKU: 01423256
Price: 227.49 EUR
Availability: BackOrder
Author: Malempati M. Rao
ISBN: 9781441948328

by Malempati M. Rao

Language: English
Binding: Paperback
Number of pages: 645
Publisher: Springer, Berlin, 2010
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Book synopsis

This book presents a complete mathematical treatment of classical inference theory (Neyman-Pearson, Fisher, and Wald) from the point of using it in stochastic processes, including some generalizations. It includes detailed analysis of likelihood ratios for both Gaussian and several other classes (infinitely divisible, jump Markov, diffusion and additive). Both linear and nonlinear filtering (also for general nonquadratic criteria) are treated. The corresponding Kalman-Bucy filters for continuous parameter processes are presented. Consistency and limit distributions of estimations of biospectral densities of harmonizable processes are given. Audience: Researchers and graduate students working in mathematics, statistics, and systems and communication engineering.