{"product_id":"measure-theory-and-filtering-introduction-and-applications-hardback-9780521838030","title":"Measure Theory and Filtering; Introduction and Applications (Hardback) 9780521838030","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eMeasure Theory and Filtering\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eIntroduction and Applications\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cem\u003eThis book is a resource for non-statisticians implementing filtering methods, which covers applications in finance, genetics and population.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eLakhdar Aggoun (Author), Robert J. Elliott (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780521838030, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 13 September 2004\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e270 pages\u003cbr\u003e26.2 x 18.4 x 2.6 cm, 0.604 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003eReview of the hardback: '… useful to those students and scientists in signal processing, mathematical finance and genetics, wishing to incorporate measure-theoretic probability techniques into their predictions. It is also an excellent user's guide to filtering with interesting applications arising in difference arenas.' Journal of Applied Statistics\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThe estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePart I. Theory: 1. Basic probability concepts\u003cbr\u003e 2. Stochastic processes\u003cbr\u003e 3. Stochastic calculus\u003cbr\u003e 4. Change of measures\u003cbr\u003e Part II. Applications: 5. Kalman filtering\u003cbr\u003e 6. Financial applications\u003cbr\u003e 7. A genetics model\u003cbr\u003e 8. Hidden populations.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Communications engineering \/ telecommunications [\u003ca title=\"See our other books on Communications engineering \/ telecommunications\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Communications%20engineering%20\/%20telecommunications%20%5BTJK%5D%22\"\u003eTJK\u003c\/a\u003e], Probability \u0026amp; statistics [\u003ca title=\"See our other books on Probability \u0026amp; statistics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Probability%20\u0026amp;%20statistics%20%5BPBT%5D%22\"\u003ePBT\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46265206997272,"sku":"9780521838030","price":82.77,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9780521838030i.jpg?v=1692020522","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/measure-theory-and-filtering-introduction-and-applications-hardback-9780521838030","provider":"Freshly Printed Books","version":"1.0","type":"link"}