Share

Convergence of Stochastic Processes

1984-10-08 Mathematics
Download Convergence of Stochastic Processes PDF Online Free

Author :
Release : 1984-10-08
Genre : Mathematics
Kind : eBook
Book Rating : 907/5 ( reviews)

GET EBOOK


Book Synopsis Convergence of Stochastic Processes by : D. Pollard

Download or read book Convergence of Stochastic Processes written by D. Pollard. This book was released on 1984-10-08. Available in PDF, EPUB and Kindle. Book excerpt: Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.

Weak Convergence of Stochastic Processes

2016-09-26 Mathematics
Download Weak Convergence of Stochastic Processes PDF Online Free

Author :
Release : 2016-09-26
Genre : Mathematics
Kind : eBook
Book Rating : 456/5 ( reviews)

GET EBOOK


Book Synopsis Weak Convergence of Stochastic Processes by : Vidyadhar S. Mandrekar

Download or read book Weak Convergence of Stochastic Processes written by Vidyadhar S. Mandrekar. This book was released on 2016-09-26. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to present results on the subject of weak convergence in function spaces to study invariance principles in statistical applications to dependent random variables, U-statistics, censor data analysis. Different techniques, formerly available only in a broad range of literature, are for the first time presented here in a self-contained fashion. Contents: Weak convergence of stochastic processes Weak convergence in metric spaces Weak convergence on C[0, 1] and D[0,∞) Central limit theorem for semi-martingales and applications Central limit theorems for dependent random variables Empirical process Bibliography

Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems

2012-12-06 Mathematics
Download Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems PDF Online Free

Author :
Release : 2012-12-06
Genre : Mathematics
Kind : eBook
Book Rating : 82X/5 ( reviews)

GET EBOOK


Book Synopsis Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems by : Harold Kushner

Download or read book Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems written by Harold Kushner. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with several closely related topics concerning approxima tions and perturbations of random processes and their applications to some important and fascinating classes of problems in the analysis and design of stochastic control systems and nonlinear filters. The basic mathematical methods which are used and developed are those of the theory of weak con vergence. The techniques are quite powerful for getting weak convergence or functional limit theorems for broad classes of problems and many of the techniques are new. The original need for some of the techniques which are developed here arose in connection with our study of the particular applica tions in this book, and related problems of approximation in control theory, but it will be clear that they have numerous applications elsewhere in weak convergence and process approximation theory. The book is a continuation of the author's long term interest in problems of the approximation of stochastic processes and its applications to problems arising in control and communication theory and related areas. In fact, the techniques used here can be fruitfully applied to many other areas. The basic random processes of interest can be described by solutions to either (multiple time scale) Ito differential equations driven by wide band or state dependent wide band noise or which are singularly perturbed. They might be controlled or not, and their state values might be fully observable or not (e. g. , as in the nonlinear filtering problem).

Empirical Processes with Applications to Statistics

2009-01-01 Mathematics
Download Empirical Processes with Applications to Statistics PDF Online Free

Author :
Release : 2009-01-01
Genre : Mathematics
Kind : eBook
Book Rating : 011/5 ( reviews)

GET EBOOK


Book Synopsis Empirical Processes with Applications to Statistics by : Galen R. Shorack

Download or read book Empirical Processes with Applications to Statistics written by Galen R. Shorack. This book was released on 2009-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1986, this valuable reference provides a detailed treatment of limit theorems and inequalities for empirical processes of real-valued random variables; applications of the theory to censored data, spacings, rank statistics, quantiles, and many functionals of empirical processes, including a treatment of bootstrap methods; and a summary of inequalities that are useful for proving limit theorems. At the end of the Errata section, the authors have supplied references to solutions for 11 of the 19 Open Questions provided in the book's original edition. Audience: researchers in statistical theory, probability theory, biostatistics, econometrics, and computer science.

Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory

1984 Computers
Download Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory PDF Online Free

Author :
Release : 1984
Genre : Computers
Kind : eBook
Book Rating : 907/5 ( reviews)

GET EBOOK


Book Synopsis Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory by : Harold Joseph Kushner

Download or read book Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory written by Harold Joseph Kushner. This book was released on 1984. Available in PDF, EPUB and Kindle. Book excerpt: Control and communications engineers, physicists, and probability theorists, among others, will find this book unique. It contains a detailed development of approximation and limit theorems and methods for random processes and applies them to numerous problems of practical importance. In particular, it develops usable and broad conditions and techniques for showing that a sequence of processes converges to a Markov diffusion or jump process. This is useful when the natural physical model is quite complex, in which case a simpler approximation la diffusion process, for example) is usually made. The book simplifies and extends some important older methods and develops some powerful new ones applicable to a wide variety of limit and approximation problems. The theory of weak convergence of probability measures is introduced along with general and usable methods (for example, perturbed test function, martingale, and direct averaging) for proving tightness and weak convergence. Kushner's study begins with a systematic development of the method. It then treats dynamical system models that have state-dependent noise or nonsmooth dynamics. Perturbed Liapunov function methods are developed for stability studies of nonMarkovian problems and for the study of asymptotic distributions of non-Markovian systems. Three chapters are devoted to applications in control and communication theory (for example, phase-locked loops and adoptive filters). Smallnoise problems and an introduction to the theory of large deviations and applications conclude the book. Harold J. Kushner is Professor of Applied Mathematics and Engineering at Brown University and is one of the leading researchers in the area of stochastic processes concerned with analysis and synthesis in control and communications theory. This book is the sixth in The MIT Press Series in Signal Processing, Optimization, and Control, edited by Alan S. Willsky.

You may also like...