Stochastic Processes
Calendar
Probabilities and random variables,
distribution and probablity density function,
functions of random variables, multivariate
pdf's, central limit theorem,
stochastic processes, stationarity and ergodicity,
correlation functions and spectral densities,
correlation matrices, Gaussian, Poisson, and Markov processes,
basics of statistical signal processing and sample
estimates, linear mean square estimation, harmonic analysis
Objectives
To provide a strong background on advanced theory
of probabilities and stochastic processes.
Classes to be held
Mondays 9:30-12:30 p.m.
and Thursdays 9:30-12:30 p.m.
Midterm
February 7, Thursday, 9:30-12:30, ITC/158
(Chapters 1-4 from the lecture notes will be covered).
Midterm
February 25, Monday, 9:30-12:30, CRL/B-102.
Lecture Notes/Viewgraphs
as a postscript file