Random measure

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In mathematics, specifically in measure theory, a random measure is a measure-valued random variable^[1]. This concept is useful to describe and analyze Monte Carlo methods, such as Monte Carlo numerical quadrature and particle filters^[2].

[edit] See also

• Poisson random measure
• Random element
• Vector measure

[edit] References

1. ^ Kallenberg, O., Random Measures, 4th edition. Academic Press, New York, London; Akademie-Verlag, Berlin (1986). ISBN 0-123-94960-2 MR854102
2. ^ Crisan, D., Particle Filters: A Theoretical Perspective, in Sequential Monte Carlo in Practice, Doucet, A., de Freitas, N. and Gordon, N. (Eds), Springer, 2001, ISBN 0-387-95146-6