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Statistics of Random Processes I
R.S. LiptserA.N. Shiryaev
其他書名
General Theory
出版Springer Science & Business Media, 2013-11-11
主題Mathematics / Probability & Statistics / GeneralMathematics / Probability & Statistics / Stochastic Processes
ISBN14757166569781475716658
URLhttp://books.google.com.hk/books?id=UavVBwAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;)