Filtering and Prediction: A Primer

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Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. The main focus is then on filtering out the errors and extracting from the observations the most precise information about the object, which itself may or may not be moving in a somewhat random fashion. Next comes the prediction step where, using information about the past behavior of the object, one tries to predict its future path. The first three chapters of the book deal with discrete probability spaces, ...

Filtering and Prediction: A Primer 2007, American Mathematical Society(RI)

ISBN-13: 9780821843338

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