Probability, Random Processes, and Statistical Analysis

By Hisashi Kobayashi, Brian L. Mark, William Turin

剑桥|2012 | 812 Pages | | PDF | 3 MB

普林斯顿大学、乔治梅森大学、AT&T三位学者联合打造，2012新书，原版pdf。数量金融专业必藏书。收费：9币。






教材简介：
Together with the fundamentals of probability, random processes, and statistical analy-sis, this insightful book also presents a broad range of advanced topics and applications not covered in other textbooks.
Advanced topics include:
• Bayesian inference and conjugate priors
• Chernoff bound and large deviation approximation
• Principal component analysis and singular value decomposition
• Autoregressive moving average (ARMA) time series
• Maximum likelihood estimation and the Expectation-Maximization (EM) algorithm
• Brownian motion, geometric Brownian motion, and Ito process
• Black–Scholes differential equation for option pricing
• Hidden Markov model (HMM) and estimation algorithms
• Bayesian networks and sum-product algorithm
• Markov chain Monte Carlo methods
• Wiener and Kalman filters
• Queueing and loss networks
The book will be useful to students and researchers in such areas as communications,signal processing, networks, machine learning, bioinformatics, and econometrics and mathematical finance.With a solutions manual, lecture slides, supplementary materials, and MATLAB programs all available online, it is ideal for classroom teaching as well as a valuable reference for professionals.

作者简介：
Hisashi Kobayashi is the Sherman Fairchild University Professor Emeritus at Princeton University, where he was previously Dean of the School of Engineering and Applied Science. He also spent 15 years at the IBM Research Center, Yorktown Heights, NY,
and was the Founding Director of IBM Tokyo Research Laboratory. He is an IEEE Life Fellow, an IEICE Fellow, was elected to the Engineering Academy of Japan (1992), and received the 2005 Eduard Rhein Technology Award.

Brian L. Mark is a Professor in the Department of Electrical and Computer Engineer-ing at George Mason University. Prior to this, he was a research staff member at theNEC C&C Research Laboratories in Princeton, New Jersey, and in 2002 he received a
National Science Foundation CAREER award.

William Turin is currently a Consultant at AT&T Labs Research. As a Member of Tech-nical Staff at AT&T Bell Laboratories and later a Technology Consultant at AT&T Labs Research for 21 years, he developed methods for quantifying the performance
of communication systems. He is the author of six books and numerous papers.

教材评价：
“This book provides a very comprehensive, well-written and modern approach to the fundamentals of probability and random processes, together with their applications in the statistical analysis of data and signals. It provides a one-stop, unified treatment that gives the reader an understanding of the models, methodologies, and underlying princi-ples behind many of the most important statistical problems arising in engineering and the sciences today.”
Dean H. Vincent Poor, Princeton University

“This is a well-written, up-to-date graduate text on probabilty and random processes. It is unique in combining statistical analysis with the probabilistic material. As noted by the authors, the material, as presented, can be used in a variety of current application areas, ranging from communications to bioinformatics. I particularly liked the historical introduction, which should make the field exciting to the student, as well as the intro-ductory chapter on probability, which clearly describes for the student the distinction between the relative frequency and axiomatic approaches to probability. I recommend it unhesitatingly. It deserves to become a leading text in the field.”
Professor Emeritus Mischa Schwartz, Columbia University

“Hisashi Kobayashi, Brian L. Mark, and William Turin are highly experienced uni-versity teachers and scientists. Based on this background, their book covers not only fundamentals, but also a large range of applications. Some of them are treated in a
textbook for the first time. Without any doubt the book will be extremely valuable to graduate students and to scientists in universities and industry. Congratulations to the authors!”
Professor Dr.-Ing. Eberhard Hänsler, Technische Universität Darmstadt

“An up-to-date and comprehensive book with all the fundamentals in probability, ran-dom processes, stochastic analysis, and their interplays and applications, which lays a solid foundation for the students in related areas. It is also an ideal textbook with five relatively independent but logically interconnected parts and the corresponding solution manuals and lecture slides. Furthermore, to my best knowledge, similar editing in Part IV and Part V can’t be found elsewhere.”
Zhisheng Niu, Tsinghua University