Stochastic Processes and Filtering Theory Jazwinski Andrew H. Paperback
Stochastic Processes and Filtering Theory Jazwinski Andrew H. Paperback This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in…
Specifikacia Stochastic Processes and Filtering Theory Jazwinski Andrew H. Paperback
Stochastic Processes and Filtering Theory Jazwinski Andrew H. Paperback
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Although theory is emphasized, the text discusses numerous practical applications as well.Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis.
He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. The final chapters deal with
Basic Stochastic Processes