5605: Egnineering applications of probability theory, random variables and random processes. Topics include: Gaussian and non-Gaussian random variables, correlation and stationarity of random processes. Time and frequency response of linear systems to random inputs using both classical transform and modern state space techiques.
The analysis of system response to stochastic signals and noise is fundamental for the understanding of advanced system analysis and synthesis.
Percentage of Course
|Probability space, sigma fields; probability axioms, conditional probability, random variables||10%|
|Probability distributions and density functions; independent and conditional random variables||10%|
|Two or more random variables; functions of random variables expectations, moments; characteristic functions||10%|
|Correlation; covariance; parameter estimation; multivariate normal variables random sequences and stochastic convergence; Central Limit Theorem||10%|
|Stochastic processes; Gaussian, exponential, random phase sinusoids in continuous and discrete time||20%|
|Strict and wide-sense stationary processes; correlation functions and expected values||20%|
|Linear transformations on random variables; linear system response to stochastic processes; ergodicity; power spectral density.||20%|