18-751: Applied Stochastic Processes

Units: 12

Basic probability concepts : Probability space, simple and compound events, statistical independence, and Bayes Rule. Total Probability Concept; Bernoulli trials; Poisson Law. De Moivre-Laplace Theorem. Definition of a Random Variable (RV); Probability distribution of an RV: cumulative distribution function (CDF) and probability density function (PDF). Two Random Variables; several Random Variables. Functions of RV’s; conditional distributions; conditional expectations; joint distributions. Moments, generating functions, and characteristic functions of RVs. Chebyshev inequality. Estimation; linear estimation; minimum mean square estimation; and orthogonality principle. Limit theorems; Central Limit Theorem; Law of Large Numbers (both strong LLN and Weak LLN). Definition of a Random Process (RP). Different notions of stationarity. Poisson and Gaussian processes. Autocorrelation and Power Spectral Density (PSD) of an RP. Processing of random (stochastic) processes by linear systems. Ergodicity. Spectral analysis. Matched Filtering. Selected applications from telecommunications, data networking (queuing), Kalman filtering.

Prerequisites: 18290 and 36217


Areas:

Signals and Systems, Signal Processing and Communications

Last modified on 2006-03-27

Links:

Blackboard

Past semesters:

F15, F14, F13, F12, F11, F10, F09, F08, F07, F06, F05, F04, F03, F02, F01, F00, F99, F98