## EE505 -- Probability and Random Processes

### Course Information, Fall 2013

**Announcements:**

- Finals Week office hours: (revised)
- Ostendorf: Mon 3:30-6 EEB M406, Weds 2-3 EEB303, Thurs 4-5 M406, Fri
- Cui: Mon 1:20-2:20, Thurs 10-2 (Sieg 118)

- Email Cui & Ostendorf about any grading errors by 12/12.
- Sample final problem solutions and formula sheet are posted.

**Course Hours: ** T,Th 4:00-5:50

**Location: **EEB 045

**Lecturers: **

**Mari Ostendorf** (mo@ee)

*Office:* EEB Rm 215D (inside 215, door by 205)

*Office Hours:* Mon 3:30-4:30 (EEB M406), 4:30-6pm (EEB 215D), other by appt.

**Bob Cui** (bobwcui@hotmail.com)

*Office Hours: *Mon 1:20-2:20, Tu 2:30-3:30 (Sieg 118)

*Discussion: *Tues 9:30-10:20 (MEB237)

**Course description:**

Foundations for the engineering analysis of random processes: set theoretic fundamentals, basic axioms of probability models, conditional probabilities and independence, discrete and continuous random variables, multiple random variables, sequences of random variables, limit theorems, models of stochastic processes, noise, stationarity and ergodicity, Gaussian processes, power spectral densities.

**Prerequisite:** Understanding of basic probability (random variables, distributions, expectations) and linear systems; familiarity with Matlab programming.

**Course objectives:**

Students who complete this course should gain:

- knowledge of how to characterize stochastic processes and properties of important stochastic processes;
- experience in interpreting real world problems as random variables and stochastic processes;
- an understanding of the interaction of stochastic processes and linear systems;
- an introduction to a detection and estimation applications; and
- practical experience with simulation.

**Text:**

*Probability and Random Processes for Electrical Engineering,* A. Leon-Garcia (3rd edition)

**Reference Texts:**

*Probability, Random Variables, and Stochastic Processes,* by A. Papoulis and U. Pillai (4th edition);

*Probability, Random Processes and Estimation Theory for Engineers,* by H. Stark and J. Woods (2nd edition)

**Grading:**

*Homework:* 20%

*Class Assignments:* 10%

*Midterm:* 30% (Nov 5, 4-5:50pm, EEB 045)

*Final Exam:* 40% (Dec 13, 4:30-6:20pm, EEB 045)

More Information and resources:

This page is maintained by Mari Ostendorf (mo@ee). Last updated on 3 December 2013.