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Books > Science & Mathematics > Mathematics > Probability & statistics
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Filtering and Prediction - A Primer (Paperback, New ed.)
Loot Price: R1,070
Discovery Miles 10 700
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Filtering and Prediction - A Primer (Paperback, New ed.)
Series: Student Mathematical Library
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Filtering and prediction is about observing moving objects when the
observations are corrupted by random errors. The main focus is then
on filtering out the errors and extracting from the observations
the most precise information about the object, which itself may or
may not be moving in a somewhat random fashion. Next comes the
prediction step where, using information about the past behavior of
the object, one tries to predict its future path. The first three
chapters of the book deal with discrete probability spaces, random
variables, conditioning, Markov chains, and filtering of discrete
Markov chains. The next three chapters deal with the more
sophisticated notions of conditioning in nondiscrete situations,
filtering of continuous-space Markov chains, and of Wiener process.
Filtering and prediction of stationary sequences is discussed in
the last two chapters. The authors believe that they have succeeded
in presenting necessary ideas in an elementary manner without
sacrificing the rigor too much. Such rigorous treatment is lacking
at this level in the literature.In the past few years the material
in the book was offered as a one-semester undergraduate/beginning
graduate course at the University of Minnesota. Some of the many
problems suggested in the text were used in homework assignments.
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