Lakhdar Aggoun's Books

Measure Theory and Filtering

Introduction and Applications

By: Lakhdar Aggoun,Robert J. Elliott

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Measure Theory and Filtering

Introduction and Applications

By: Lakhdar Aggoun,Robert J. Elliott

The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.

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Page Count

274

Publisher

Cambridge University Press

Published Date

ISBN 10

1139456245

ISBN 13

9781139456241

Hidden Markov Models

Estimation and Control

By: Robert J Elliott,Lakhdar Aggoun,John B. Moore

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Hidden Markov Models

Estimation and Control

By: Robert J Elliott,Lakhdar Aggoun,John B. Moore

As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

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Page Count

374

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387848541

ISBN 13

9780387848549

Hidden Markov Models

Theory and Applications

By: Przemyslaw Dymarski

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Hidden Markov Models

Theory and Applications

By: Przemyslaw Dymarski

Hidden Markov Models (HMMs), although known for decades, have made a big career nowadays and are still in state of development. This book presents theoretical issues and a variety of HMMs applications in speech recognition and synthesis, medicine, neurosciences, computational biology, bioinformatics, seismology, environment protection and engineering. I hope that the reader will find this book useful and helpful for their own research.

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Page Count

329

Publisher

BoD – Books on Demand

Published Date

ISBN 10

9533072083

ISBN 13

9789533072081

Book's by Lakhdar Aggoun

Measure Theory and Filtering

Measure Theory and Filtering

Hidden Markov Models

Hidden Markov Models

Hidden Markov Models

Hidden Markov Models

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