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May 18, 2024
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ENGR 5610G - Stochastic Processes
Review of probability theory including random variables, probability distribution and density functions, characteristic functions, convergence of random sequences and laws of large numbers. Random processes, stationarity and ergodicity, correlation and power spectral density, cross-spectral densities, response of linear systems to stochastic input, innovation and factorization, Fourier and KL expansion, and mean square estimation. Applications in communications and signal processing, with emphasis on problem-solving using probabilistic approaches.
Credit hours: 3
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