The BRADLEY DEPARTMENT of ELECTRICAL and COMPUTER ENGINEERING

ECE 5606 Stochastic Signals and Systems | ECE | Virginia Tech

Graduate PROGRAMS

Course Information

Description

Response of continuous and discrete time, linear and nonlinear systems to Gaussian and non-Gaussian random processes. Signal to noise power ratio computations (SNR) of systems. Introduction to signal detection theory. Optimal filtering (estimation) techniques of Wiener and Kalman to both open and closed loop systems.

Why take this course?

The analysis of system response to stochastic signals and noise is fundamental for the understanding of advanced system analysis and synthesis.

Learning Objectives

  • analyze the response of linear and nonlinear systems to both Gaussian and non-Gaussian random processes.
  • design and evaluate the performance of both basic detection and optimal filtering systems.

Course Topics

Topic

Percentage of Course

Linear System transformations on multivariate Gaussian processes and Brownian motion 10%
Narrowband Gaussian and Gaussian-derived processes, e.g. processes with Rayleigh and Rician densities 10%
Response of open and closed loop systems to stochastic inputs 10%
Response of nonlinear systems to stationary stochastic process 10%
Filtering, smoothing and prediction of stationary stochastic processes; Wiener and matched filtering. 20%
Hypothesis testing, maximum likelihood ratio decisions; detection of known signals in a noisy environment. 20%
Introduction to state estimation theory in discrete time, linear, scalar systems. 20%