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Stochastic Processes

Inference Theory

  • Book
  • © 2000

Overview

Authors:
  1. M. M. Rao

    1. University of California, Riverside, USA

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Part of the book series: Mathematics and Its Applications (MAIA, volume 508)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Introduction and Preliminaries

    • M. M. Rao
    Pages 1-18

  3. Principles of Hypothesis Testing

    • M. M. Rao
    Pages 19-72

  4. Parameter Estimation and Asymptotics

    • M. M. Rao
    Pages 73-131

  5. Inference for Classes of Processes

    • M. M. Rao
    Pages 133-222

  6. Likelihood Ratios for Processes

    • M. M. Rao
    Pages 223-338

  7. Sampling Methods for Processes

    • M. M. Rao
    Pages 339-381

  8. More on Stochastic Inference

    • M. M. Rao
    Pages 383-464

  9. Prediction and Filtering of Processes

    • M. M. Rao
    Pages 465-556

  10. Nonparametric Estimation for Processes

    • M. M. Rao
    Pages 557-599

  11. Back Matter

    Pages 601-645
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Keywords

About this book

The material accumulated and presented in this volume can be ex­ plained easily. At the start of my graduate studies in the early 1950s, I Grenander's (1950) thesis, and was much attracted to the came across entire subject considered there. I then began preparing for the neces­ sary mathematics to appreciate and possibly make some contributions to the area. Thus after a decade of learning and some publications on the way, I wanted to write a modest monograph complementing Grenander's fundamental memoir. So I took a sabbatical leave from my teaching position at the Carnegie-Mellon University, encouraged by an Air Force Grant for the purpose, and followed by a couple of years more learning opportunity at the Institute for Advanced Study to complete the project. As I progressed, the plan grew larger needing a substantial background material which was made into an independent initial volume in (1979). In its preface I said: "My intension was to present the following material as the first part of a book treating the In­ ference Theory of stochastic processes, but the latter account has now receded to a distant future," namely for two more decades! Meanwhile, a much enlarged second edition of that early work has appeared (1995), and now I am able to present the main part of the original plan.

Reviews

`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

Authors and Affiliations

  • University of California, Riverside, USA

    M. M. Rao

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