隨機過程

Stochastic Processes

學期

111-1

學分

3 學分

當期課號

535354

永久課號

EECM30118

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

教授學生關於隨機過程的基礎知識與在通訊及訊號處理領域的應用

先修科目

微積分、機率、訊號與系統

評分方式

Midterm Exam: 40%, Final Exam: 40%, Homework (including computer programming homework) and class participation:20%.

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) The Power Spectrum (9-3) 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	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

教科書

Probability, Random Variables and Stochastic Processes, 4th edition, Athanasios Papoulis and S. Unnikrishna Pillai, Mc Graw Hill, 2002.

Office Hours