ELEC 6650 - Random Processes in Communications and DSP

Prerequisite: ELEC 5520. Review of random variables, random vectors; introduction to continuous- and discrete-time random processes; stationarity and ergodicity; correlation functions and power spectral density of wide-sense stationary processes, Gaussian and Poisson processes, Markov chains; recurrence, absorption, limiting and steady-state distributions, analysis of linear systems with random inputs, narrowband random processes, stochastic signal representations; orthogonal expansions; the Karhunen-Loeve series, linear mean-square estimation; the orthogonality principle, optimum Wiener and Kalman filtering, simulation of random processes. 3 credits.