Probability, random processes, and statistical analysis
Title
Probability, random processes, and statistical analysis

Personal Author
Kobayashi, Hisashi

Publication Information
Cambridge ; New York : Cambridge University Press, 2012

Physical Description
xxxi, 780 p. : ill. ; 26 cm.

ISBN
9780521895446

Abstract
"Together with the fundamentals of probability, random processes and statistical analysis, this insightful book also presents a broad range of advanced topics and applications. There is extensive coverage of Bayesian vs. frequentist statistics, time series and spectral representation, inequalities, bound and approximation, maximum-likelihood estimation and the expectation-maximization (EM) algorithm, geometric Brownian motion and It's process. Applications such as hidden Markov models (HMM), the Viterbi, BCJR, and Baum-Welch algorithms, algorithms for machine learning, Wiener and Kalman filters, and queueing and loss networks are treated in detail. The book will be useful to students and researchers in such areas as communications, signal processing, networks, machine learning, bioinformatics, econometrics and mathematical finance. With a solutions manual, lecture slides, supplementary materials and MATLAB programs all available online, it is ideal for classroom teaching as well as a valuable reference for professionals"-- Provided by publisher.
 
"Probability, Random Processes, and Statistical Analysis Together with the fundamentals of probability, random processes, and statistical analysis, this insightful book also presents a broad range of advanced topics and applications not covered in other textbooks. Advanced topics include: - Bayesian inference and conjugate priors - Chernoff bound and large deviation approximation - Principal component analysis and singular value decomposition - Autoregressive moving average (ARMA) time series - Maximum likelihood estimation and the EM algorithm - Brownian motion, geometric Brownian motion, and Ito process - Black-Scholes differential equation for option pricing"-- Provided by publisher.

Subject Term
Stochastic analysis

Added Author
Mark, Brian L. (Brian Lai-bue), 1969-
 
Turin, William


LibraryItem BarcodeCall NumberMaterial TypeItem Category 1
PSZ JB30000010297751QA274.2 K63 2012Open Access BookBook