Stochastic Processes: Inference Theory: 508 (Mathematics and Its Applications) - Softcover

Rao, Malempati M. M.

Softcover

ISBN 10: 1441948325 ISBN 13: 9781441948328

Publisher: Springer, 2010

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.

About this title

Review

`This is an impressive book ... of high mathematical quality and is written in a format with theorems and proofs. Each chapter ends with bibliographical notes, complements and exercises. The latter make the book also interesting for teaching graduate courses.'
Publication of the International Statistical Institute
`Overall, the topics included cover a broad spectrum of processes and inference methods in a fairly comprehensive manner and in depth. The book is highly recommended reading.'
Mathematical Reviews, 2002b

Edition details

• Publisher: Springer
• Publication date: 2010
• Language: English
• ISBN 10: 1441948325
• ISBN 13: 9781441948328
• Binding: Paperback
• Edition number: 1
• Number of pages: 664