Jazwinski, Andrew H.
Stochastic Processes and Filtering Theory
- ISBN 13:
- 9780486462745
- author:
- Jazwinski, Andrew H.
- format:
- Paperback
- publisher:
- Dover Publications
- language:
- English
- Publication Year:
- 2008
- Pages:
- 400
- Dimensions:
- 154 mm X 216 mm
- Genre:
- Mathematics
- Condition:
- New
- Availability:
- Item usually sent within 7 working days
Description
Stochastic Processes and Filtering Theory by Andrew H. Jazwinski presents a unified treatment of linear and nonlinear filtering theory, making previously journal-only material accessible to engineering students. With prerequisites in advanced calculus, ordinary differential equations, and matrix analysis, this text combines theoretical foundations with practical applications. The author takes the state-space approach to filtering, modelling dynamical systems using finite-dimensional Markov processes, stochastic differences, and differential equations. The book begins by introducing probability theory and stochastic processes before delving into the problems of filtering, prediction, and smoothing. It then presents mathematical solutions to nonlinear filtering problems and specialises this theory for linear problems. The final chapters address applications, including the development of approximate nonlinear filters and a critical analysis of their performance. This comprehensive treatment provides a solid foundation for understanding filtering theory and its numerous practical uses.
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