Random Processes: Filtering, Estimation and Detection

This book covers the basics of probability and random processes for an engineering audience. Importantly, though, the book also presents the details of modern detection and estimation theory, giving it a real edge over existing textbooks. Experiments and probability. Random variables. Estimation of random variables. Random processes. Linear systems: random processes. Nonlinear systems: random processes. Optimum linear filters: the wiener approach. Optimum linear systems: the kalman approach. Detection theory: discrete observation. Detection theory: continuous observation.