Random Variables and Signals - ECE60000
Engineering applications of probability theory; problems on events, independence, random variables, probability distribution and density functions, expectations, and characteristic functions; dependence, correlation, and regression multivariate Gaussian distribution; stochastic processes, stationarity, ergodicity, correlation functions, spectral densities, random inputs to linear systems; Gaussian processes.
Credit Hours: 3
Instructor(s): Mark Bell
Phone: (765) 494-6412
Email: mrb@purdue.edu
Web: Instructor Homepage
Learning Objective:
To introduce the topics of probability, random variables, and stochastic processes at the graduate level.
Topics Covered:
Engineering applications of probability theory; problems on events, independence, random variables, probability distribution and density functions, expectations, and characteristic functions; dependence, correlation, and regression multivariate Gaussian distribution; stochastic processes, stationarity, ergodicity, correlation functions, spectral densities, random inputs to linear systems; Gaussian processes.
Prerequisites:
Graduate standing; knowledge of basic set theory, matrix analysis, continuous and discrete time signal and systems analysis, Fourier transforms.
Applied / Theory:
20 / 80
Homework:
Homework will be assigned each week, but will not be collected or graded; the homework and solutions will be available on the course web site.
Projects:
No Projects
Exams:
Three exams and one final exam.
Textbooks:
Official textbook information is now listed in the Schedule of Classes. NOTE: Textbook information is subject to be changed at any time at the discretion of the faculty member. If you have questions or concerns please contact the academic department. Tentative: Required--A. Papoulis, "Probability, Random Variables, and Stochastic Processes," 4th ed., McGraw-Hill Europe. ISBN 9780071226615.
Computer Requirements:
ProEd minimum computer requirements; Internet access required to download the homework from the course web pages.
Other Requirements:
None.