Faithin Omaha eBook Collection

This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the t

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with

A unified Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.

A description of the implicit filtering algorithm, its convergence theory and a new MATLAB® implementation.

In this updated edition the main thrust is on applied Kalman filtering. Chapters 1-3 provide a minimal background in random process theory and the response of l