- #1
Avatrin
- 245
- 6
Summary:: Random processes, autocovariance, ergodicity, Gauss-Markov etc
Hi
I am a person who resolutely prefers depth over breadth, and currently I am trying to learn more about random signals and Kalman filtering. However, the books I have found so far will mention and superficially describe concepts like autocorrelation and ergodicity, but they do not go particularly deeply into describing them (what exactly are the properties of stationary processes? Or autocorrelated functions?).
I would prefer a book that is both rigorous and motivates these definitions well. The book I am currently using does not even define the difference between ensemble averaging and time averaging...
Hi
I am a person who resolutely prefers depth over breadth, and currently I am trying to learn more about random signals and Kalman filtering. However, the books I have found so far will mention and superficially describe concepts like autocorrelation and ergodicity, but they do not go particularly deeply into describing them (what exactly are the properties of stationary processes? Or autocorrelated functions?).
I would prefer a book that is both rigorous and motivates these definitions well. The book I am currently using does not even define the difference between ensemble averaging and time averaging...