隨機過程

Stochastic Processes

學期

110-1

學分

3 學分

當期課號

5078

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

* 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

評分方式

Homework (includes computer programming) and class participation: 20% 1 Midterm Exam: 40% 1 Final Exam: 40%.

課程大綱

週次計畫

週次	主題
第 1 週	Introduction to Stochastic Processes (9-1) Note: After enrolling in the course, you will be able to download the lecture video file and slides from the E3 website.
第 2 週	Systems with Stochastic Inputs (9-2) Note: After enrolling in the course, you will be able to download the lecture video file and slides from the E3 website.
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	AR, MA, and ARMA processes (11-2)
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	Midterm Exam
第 10 週	Spectral representation of random processes, Wold Decomposition (11-4)
第 11 週	Ergodicity (12-1)
第 12 週	Mean Square Estimation and Orthogonality Principle (13-1)
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