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AuthorRao, M. M. author
TitleStochastic Processes [electronic resource] : Inference Theory / by M. M. Rao
ImprintBoston, MA : Springer US : Imprint: Springer, 2000
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Descript XVI, 645 p. online resource


The material accumulated and presented in this volume can be exยญ plained easily. At the start of my graduate studies in the early 1950s, I Grenander's (1950) thesis, and was much attracted to the came across entire subject considered there. I then began preparing for the necesยญ sary mathematics to appreciate and possibly make some contributions to the area. Thus after a decade of learning and some publications on the way, I wanted to write a modest monograph complementing Grenander's fundamental memoir. So I took a sabbatical leave from my teaching position at the Carnegie-Mellon University, encouraged by an Air Force Grant for the purpose, and followed by a couple of years more learning opportunity at the Institute for Advanced Study to complete the project. As I progressed, the plan grew larger needing a substantial background material which was made into an independent initial volume in (1979). In its preface I said: "My intension was to present the following material as the first part of a book treating the Inยญ ference Theory of stochastic processes, but the latter account has now receded to a distant future," namely for two more decades! Meanwhile, a much enlarged second edition of that early work has appeared (1995), and now I am able to present the main part of the original plan


I: Introduction and Preliminaries -- II: Some Principles of Hypothesis Testing -- III: Parameter Estimation and Asymptotics -- IV: Inferences for Classes of Processes -- V: Likelihood Ratios for Processes -- VI: Sampling Methods for Processes -- VII: More on Stochastic Inference -- VIII: Prediction and Filtering of Processes -- IX: Nonparametric Estimation for Processes -- Notation index -- Author index

Mathematics Fourier analysis Measure theory Applied mathematics Engineering mathematics Probabilities Statistics Mathematics Probability Theory and Stochastic Processes Statistics general Measure and Integration Fourier Analysis Applications of Mathematics


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