Item description for Statistics of Random Processes I by B. Aries Robert S. Liptser...
The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.
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Est. Packaging Dimensions: Length: 9.51" Width: 6.52" Height: 1.19" Weight: 1.87 lbs.
Release Date Oct 15, 2004
ISBN 3540639292 ISBN13 9783540639299
Availability 74 units. Availability accurate as of May 26, 2017 09:10.
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Reviews - What do customers think about Statistics of Random Processes I?
A masterpiece... but full of typos Mar 7, 2002
This is volume 1 of a famous masterpiece. It has an ample coverage of a very interesting and useful subject. It is very well organized, and the style is very appealing. The big problem is the incredibly large number of typos! Some are irrelevant, some others are annoying, and the rest are just dangerous, the kind that can make you question your own sanity until you realize there is a mistake. The problem is particularly vexing because it is the second edition, and the authors claim they did not change this volume very much. Then it means that the publishers did not bother to correct the typos from the first edition, a serious case of malpractice. The problem is so huge that I am returning Volume 2. (By the way, the second edition of Shiryaev's classic book on Probability suffers from the same problem, lots and lots of typos.) The editors and publishers could pay more attention to proofreading books of this sort, in which even a small typo can seriously mar the presentation of the argument. Or at least they could provide errata lists on the Web.
the book, give me a clear idea of sthocastics random process Aug 16, 1998
I'm interesting in this book, becouse i need it to make a homework.