工学のためのランダム・プロセス入門 Random Processes for Engineers : A Primer

Snider, Arthur David

CRC Press Inc（2017/01発売）

• 製本 Hardcover:ハードカバー版／ページ数 195 p.
• 言語 ENG
• 商品コード 9781498799034
• DDC分類 519.2302362

Full Description

This book offers an intuitive approach to random processes and educates the reader on how to interpret and predict their behavior. Premised on the idea that new techniques are best introduced by specific, low-dimensional examples, the mathematical exposition is easier to comprehend and more enjoyable, and it motivates the subsequent generalizations. It distinguishes between the science of extracting statistical information from raw data--e.g., a time series about which nothing is known a priori--and that of analyzing specific statistical models, such as Bernoulli trials, Poisson queues, ARMA, and Markov processes. The former motivates the concepts of statistical spectral analysis (such as the Wiener-Khintchine theory), and the latter applies and interprets them in specific physical contexts. The formidable Kalman filter is introduced in a simple scalar context, where its basic strategy is transparent, and gradually extended to the full-blown iterative matrix form.

Contents

Probability Basics. Random Processes. Analysis of Raw Data. Models for Random Processes. Least Mean-Square Error Predictors. The Kalman Filter.