Non-parametric State Space Models

Author:A.V. Dobrovidov, G.M. Koshkin, and V.A. Vasiliev

Kendrick Press, 2012, ii + 501pp.
Paperback, $100.

A key problem of mathematical statistics is that of reconstructing probability distributions of random variables and functionals of these distributions, such as moment characteristics and regression function. In the present volume the approach is non-parametric; knowledge of a parametric structure for the class of estimated functionals is not assumed. It is supposed that observations are statistically dependent, which permits the use of dynamical systems in constructing models. The book will be useful for experts in information processing, control, prediction and filtration, and for students specializing in mathematical statistics.

To evaluate whether the book will be useful to you, please examine the Table of Contents*.

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