EE 601: Statistical Signal Analysis
Instructor: Jayakrishnan Nair (home page)
TAs: Abhijit Patil, Vaibhav Gupta, Anand Kumar, Kaustav Dey
Class Schedule: Tue. & Fri., 5.30-7.00 pm, EEG101
Office hours: 2-3 pm, Fridays
Course
contents
- Probability space
- Set theory primer, Cardinality of sets
- Sample space, Sigma algebras, Probability measure
- Properties of probability measures
- Conditional probability and independence
- Random variables
- Definition, Cumulative distribution functions
- Discrete random variables, Probability mass function
- Continuous random variables, Probability density function
- Joint and conditional distributions
- Functions of random variables
- Expectation, Conditional expectation
- Concentration inequalities
- Random vectors & parameter estimation
- Transforms
- Moment generating function, Characteristic function
- Sequences of random variables
- Convergence of random sequences
- Law of large numbers
- Central limit theorem
- Introduction to random processes
Grading
- Homework assignments - 25%
- Mid-term - 25%
- End-term - 30%
- Quizzes (2) - 20%
Note: A considerable weight is attached to homework assignments, which
will be handed out (almost) every two weeks. This is to encourage you
to spend time with the material being covered thoughout the semester,
rather than concentrating the interaction around two discrete
events. While students are encouraged to discuss homework problems
with one another as well as the instructor/TAs, they are expected to
write their own solutions. Copying will result in severe
penalty.
Audit policy: Students auditing the course will be expected to submit
the homework assignments *and* appear for the two quizzes. A
satisfactory performance in these is required for an audit
grade. Appearing in the mid-term and end-term will be optional for
auditing students.
Textbook: The
recommended textbook for the course is Probability and Random
Processes with applications to Signal Processing by Stark &
Woods (an Indian edition is available).
Useful references
- G. Grimmett and D. R. Stirzaker, Probability and Random Processes
- A. Papoulis and S. Unnikrishna Pillai, Probability, Random Variables and Stochastic Processes (Indian edition available)
- Bruce Hajek's lecture notes [link]
- Krishna Jagannathan's NPTEL course on Probability Foundations and accompanying lecture notes