隨機過程
Stochastic Processes
學期
107-1
學分
3
學分
當期課號
5064
永久課號
ECM5102
開課單位
電信工程研究所
授課教師
高榮鴻
校區
光復
類別
選修
上課時間表
| 節 | 週一 |
|---|---|
5 13:20–14:10 | 隨機過程 EDB01 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
概述
Teach students key results (with proof) on stochastic processes and their applications in communication systems and signal processing.
先修科目
Calculus, probability, signals and systems, principles of communications
評分方式
Quiz and class participation: 20% 2 Midterm Exams: 50% (Oct. 15, 2018 and Nov. 26, 2018) 1 Final Exam: 30%.
課程大綱
- Chapter 9: General Concepts
- Chapter 10: Random Walks and Other Applications
- Chapter 11: Spectral Representation
- Chapter 12: Spectrum Estimation
- Chapter 13: Mean Square Estimation
週次計畫
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction to Stochastic Processes (9-1) |
| 第 2 週 | Systems with Stochastic Inputs (9-2) |
| 第 3 週 | The Power Spectrum (9-3) |
| 第 4 週 | Discrete-Time Stochastic Processes (9-4) |
| 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) Random Walks, Wiener Process, and Brownian Motion (10-1) |
| 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) System Identification of AR/MA/ARMA Processes (12-3) |
| 第 17 週 | Lattice Filters and Levinson's Algorithm (12-3) |
| 第 18 週 | Final Exam |
教科書
Probability, Random Variables and Stochastic Processes, 4th edition, Athanasios Papoulis and S. Unnikrishna Pillai, Mc Graw Hill, 2002.
Office Hours
- 地點
- ED730
- 時間
- 2EF
- 聯絡方式
- runghunggau@g2.nctu.edu.tw