Overview
- Provides a rigorous introduction to stochastic analysis and inference theory
- Enriches understanding of nontrivial statistical inference problems on stochastic processes
- Gives inside in Kalman filter analysis and recent discussions on Ridge regressions and related theory
Part of the book series: Springer Monographs in Mathematics (SMM)
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Table of contents (9 chapters)
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Front Matter
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Back Matter
Keywords
About this book
This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics.
The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.
Reviews
“A wonderful text with a very high pedagogical and scientific quality, on inference theory in stochastic processes, important for researchers in probability theory, mathematical statistics and electrical and information theory.” (Prof. Dr. Manuel Alberto M. Ferreira, Acta Scientiae et Intellectus, Vol. 2 (1), 2016)
“This book is the revised and enlarged edition of the author's original text … . The book is well written and will be of interest for researchers in probability theory and mathematical statistics.” (N. G. Gamkrelidze, zbMATH 1341.62036, 2016)
Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Processes - Inference Theory
Authors: Malempati M. Rao
Series Title: Springer Monographs in Mathematics
DOI: https://doi.org/10.1007/978-3-319-12172-7
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2014
Hardcover ISBN: 978-3-319-12171-0Published: 04 December 2014
Softcover ISBN: 978-3-319-37434-5Published: 23 August 2016
eBook ISBN: 978-3-319-12172-7Published: 14 November 2014
Series ISSN: 1439-7382
Series E-ISSN: 2196-9922
Edition Number: 2
Number of Pages: XVII, 669
Additional Information: Originally published as volume 508 in the series: Mathematics and Its Applications
Topics: Probability Theory and Stochastic Processes, Statistics, general, Measure and Integration, Fourier Analysis, Applications of Mathematics