Appropriate for upper-level undergraduates and graduate students, this volume addresses the fundamental concepts of martingales, stochastic integrals, and estimation. Written by an engineer for engineers, it emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value. Unabridged republication of the edition published by John Wiley & Sons, Inc., New York, 1984.
Digital Filters by Richard W. Hamming Introductory text examines role of digital filtering in many applications, particularly computers. Focus on linear signal processing; some consideration of roundoff effects, Kalman filters. Only calculus, some statistics required.
Optimal Filtering by Brian D. O. Anderson, John B. Moore Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.
Adaptive Filtering Prediction and Control by Graham C Goodwin, Kwai Sang Sin This unified survey focuses on linear discrete-time systems and explores natural extensions to nonlinear systems. It emphasizes discrete-time systems, summarizing theoretical and practical aspects of a large class of adaptive algorithms. 1984 edition.
Nonstandard Methods in Stochastic Analysis and Mathematical Physics by Sergio Albeverio, Jens Erik Fenstad, Raphael Høegh-Krohn, Tom Lindstrøm Two-part treatment begins with a self-contained introduction to the subject, followed by applications to stochastic analysis and mathematical physics. "A welcome addition." — Bulletin of the American Mathematical Society. 1986 edition.
Stochastic Processes and Filtering Theory by Andrew H. Jazwinski This unified treatment presents material previously available only in journals, and in terms accessible to engineering students. Although theory is emphasized, it discusses numerous practical applications as well. 1970 edition.
Factorization Methods for Discrete Sequential Estimation by Gerald J. Bierman Geared toward advanced undergraduates and graduate students, this text describes matrix factorization methods employed by numerical analysts, featuring techniques that lead to efficient, economical, reliable, and flexible estimation algorithms. 1977 edition.
