隨機過程
Stochastic Processes
| 節 | 週三 |
|---|---|
2 09:00–09:50 | 隨機過程 EDB26（光復） 3 節連堂 |
3 10:10–11:00 | |
4 11:10–12:00 |
* 根據陽明交大上課時間表所列
Teach students key results (with proof) on stochastic processes and their applications in communication systems and signal processing.
Calculus, probability, signals and systems, principles of communications
無備註
教師未提供此項資料
Quiz and class participation: 20% 2 Midterm Exams: 50% 1 Final Exam: 30%.
Chapter 9: General Concepts
9-1. Definitions 9-2. Systems with Stochastic Inputs 9-3. The Power Spectrum
Chapter 10: Random Walks and Other Applications
10-1. Random Walks and Brownian Motion 10-3. Modulation 10-4. Cyclostationary Processes
Chapter 11: Spectral Representation
11-1. Regular Processes, Factorization and Innovation 11-2. AR, MA, and ARMA processes 11-3.. Fourier Series and Karhunen-Loeve Expansions 11-4. Wold Decomposition
Chapter 12: Spectrum Estimation
12-1. Ergodicity 12-2. Spectrum Estimation (Data/Spectral Windows) 12-3. Lattice Filter, Levinson's Algorithm, System Identification of AR/MA/ARMA Processes
Chapter 13: Mean Square Estimation
13-1. Introduction, Orthogonality Principle 13-2. Prediction, Wiener-Hopf Equation, Proof of Wold Decomposition 13-3. Prediction and Filtering
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction to Stochastic Processes (9-1) Systems with Stochastic Inputs (9-2) |
| 第 2 週 | The Power Spectrum (9-3) |
| 第 3 週 | Random Walks, Wiener Process, and Brownian Motion (10-1) |
| 第 4 週 | Modulation, Cyclostationary (10-3, 10-4) |
| 第 5 週 | Regular Processes Factorization and Innovations (11-1) |
| 第 6 週 | First Midterm Exam |
| 第 7 週 | AR, MA, and ARMA processes (11-2) |
| 第 8 週 | Fourier series and Karhunen-Loeve expansions (11-3) |
| 第 9 週 | Spectral representation of random processes, Wold Decomposition (11-4) |
| 第 10 週 | Ergodicity (12-1) |
| 第 11 週 | Mean Square Estimation and Orthogonality Principle (13-1) |
| 第 12 週 | Second Midterm Exam |
| 第 13 週 | Prediction, Solving Wiener-Hopf Equation for Regular Processes (13-2) |
| 第 14 週 | Prediction and Filtering (13-3) |
| 第 15 週 | Spectrum Estimation (12-2) Lattice Filters and Levinson's Algorithm, System Identification of AR/MA/ARMA Processes (12-3) |
| 第 17 週 | Introduction to Markov Chains (15-1, 15-2) |
| 第 18 週 | Final Exam |
Probability, Random Variables and Stochastic Processes, 4th edition, Athanasios Papoulis and S. Unnikrishna Pillai, Mc Graw Hill, 2002.
- 地點
- ED730
- 時間
- 2EF
- 聯絡方式
- runghunggau@g2.nctu.edu.tw