隨機過程
Stochastic Processes
| 節 | 週一 |
|---|---|
5 13:20–14:10 | 隨機過程 EDB26（光復） 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 根據陽明交大上課時間表所列
Teach students knowledge on stochastic processes and their applications in wireless communications and signal processing
Calculus-based probability, signals and systems
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Midterm Exam: 40%, Final Exam: 40%, Homework (including computer programming homework) and class participation:20%.
Chapter 9: General Concepts
9-1. Definitions 9-2. Systems with Stochastic Inputs 9-3. The Power Spectrum 9-4. Discrete-time Stochastic Processes
Chapter 10: Random Walks and Other Applications
10-1. Random Walks and Brownian Motion
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. 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) 2025-09-01(一) |
| 第 2 週 | Systems with Stochastic Inputs (9-2) The Power Spectrum (9-3) 2025-09-08(一) |
| 第 3 週 | Discrete-time stochastic processes (9-4) 2025-09-15(一) |
| 第 4 週 | Random Walks, Wiener Process, and Brownian Motion (10-1) 2025-09-22(一) |
| 第 5 週 | Regular Processes Factorization and Innovations (11-1) 2025-09-29(一) |
| 第 6 週 | AR, MA, and ARMA processes (11-2) 2025-10-06(一) |
| 第 7 週 | Fourier series and Karhunen-Loeve expansions (11-3) 2025-10-13(一) |
| 第 8 週 | Midterm Exam 2025-10-20(一) |
| 第 9 週 | Spectral representation of random processes, Wold Decomposition (11-4) 2025-10-27(一) |
| 第 10 週 | Ergodicity (12-1) 2025-11-03(一) |
| 第 11 週 | Mean Square Estimation and Orthogonality Principle (13-1) 2025-11-10(一) |
| 第 12 週 | Prediction, Solving Wiener-Hopf Equation for Regular Processes (13-2) 2025-11-17(一) |
| 第 13 週 | Prediction and Filtering (13-3) 2025-11-24(一) |
| 第 14 週 | Spectrum Estimation (12-2) System Identification of AR/MA/ARMA Processes (12-3) 2025-12-01(一) |
| 第 15 週 | System Identification of AR/MA/ARMA Processes (12-3) 2025-12-08(一) |
| 第 16 週 | Final Exam 2025-12-15(一) |
Probability, Random Variables and Stochastic Processes, 4th edition, Athanasios Papoulis and S. Unnikrishna Pillai, Mc Graw Hill, 2002.
- 地點
- ED730
- 時間
- 3EF
- 聯絡方式
- gaurunghung@nycu.edu.tw