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Filtering and prediction is about observing moving objects when the observations are corrupted by random errors. This title includes chapters that deal with discrete probability spaces, random variables, conditioning, Markov chains, and filtering of discre

Overview This book is intended as a textbook in probability for graduate students in math- ematics and related areas such as statistics, economics, physics, and operations research. Probability theory is a 'difficult' but productive marriage of mathemat- ical abstraction and everyday intuition, and we have attempted to exhibit this fact. Thus we may appear at times to be obsessively careful in our presentation of the material, but our experience has shown that many students find them- selves quite handicapped because they have never properly come to grips with the subtleties of the...