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Probability Theory and Stochastic Processes

The document outlines a comprehensive course on Probability Theory and Stochastic Processes, covering key concepts such as probability definitions, random variables, operations on random variables, and random processes. It includes detailed discussions on temporal and spectral characteristics of random processes, as well as noise sources and information theory. The content is structured into five units, each addressing fundamental principles and applications in the field.

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43 views2 pages

Probability Theory and Stochastic Processes

The document outlines a comprehensive course on Probability Theory and Stochastic Processes, covering key concepts such as probability definitions, random variables, operations on random variables, and random processes. It includes detailed discussions on temporal and spectral characteristics of random processes, as well as noise sources and information theory. The content is structured into five units, each addressing fundamental principles and applications in the field.

Uploaded by

projects all
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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PROBABILITY THEORY AND STOCHASTIC PROCESSES

UNIT - I Probability & Random Variable: Probability introduced through


Sets and Relative Frequency: Experiments and Sample Spaces, Discrete
and Continuous Sample Spaces, Events, Probability Definitions and
Axioms, Joint Probability, Conditional Probability, Total Probability, Bayes
Theorem, Independent Events, Random Variable-Definition, Conditions for
a Function to be a Random Variable, Discrete, Continuous and Mixed
Random Variable, Distribution and Density functions, Properties, Binomial,
Poisson, Uniform, Gaussian, Exponential, Rayleigh, Methods of defining
Conditioning Event, Conditional Distribution, Conditional Density and their
Properties.

UNIT - II Operations on Single & Multiple Random Variables –


Expectations: Expected Value of a Random Variable, Function of a
Random Variable, Moments about the Origin, Central Moments, Variance
and Skew, Chebychev’s Inequality, Characteristic Function, Moment
Generating Function, Transformations of a Random Variable: Monotonic
and Non-monotonic Transformations of Continuous Random Variable,
Transformation of a Discrete Random Variable. Vector Random Variables,
Joint Distribution Function and its Properties, Marginal Distribution
Functions, Conditional Distribution and Density – Point Conditioning,
Conditional Distribution and Density – Interval conditioning, Statistical
Independence.
Sum of Two Random Variables, Sum of Several Random Variables, Central
Limit Theorem, (Proof not expected). Unequal Distribution, Equal
Distributions. Expected Value of a Function of Random Variables: Joint
Moments about the Origin, Joint Central Moments, Joint Characteristic
Functions, Jointly Gaussian Random Variables: Two Random Variables
case, N Random Variable case, Properties, Transformations of Multiple
Random Variables, Linear Transformations of Gaussian Random Variables.

UNIT - III Random Processes – Temporal Characteristics: The Random


Process Concept, Classification of Processes, Deterministic and
Nondeterministic Processes, Distribution and Density Functions, concept of
Stationarity and Statistical Independence. First-Order Stationary
Processes, SecondOrder and Wide-Sense Stationarity, (N-Order) and
Strict-Sense Stationarity, Time Averages and Ergodicity, Mean-Ergodic
Processes, Correlation-Ergodic Processes, Autocorrelation Function and
Its Properties, Cross-Correlation Function and Its Properties, Covariance
Functions, Gaussian Random Processes, Poisson Random Process.
Random Signal Response of Linear Systems: System Response –
Convolution, Mean and Mean-squared Value of System Response,
autocorrelation Function of Response, Cross-Correlation Functions of Input
and Output.

UNIT - IV Random Processes – Spectral Characteristics: The Power


Spectrum: Properties, Relationship between Power Spectrum and
Autocorrelation Function, The Cross-Power Density Spectrum, Properties,
Relationship between Cross-Power Spectrum and Cross-Correlation
Function. Spectral Characteristics of System Response: Power Density
Spectrum of Response, Cross-Power Density Spectrums of Input and
Output.

UNIT - V Noise Sources & Information Theory: Resistive/Thermal Noise


Source, Arbitrary Noise Sources, Effective Noise Temperature, Noise
equivalent bandwidth, Average Noise Figures, Average Noise Figure of
cascaded networks, Narrow Band noise, Quadrature representation of
narrow band noise & its properties. Entropy, Information rate, Source
coding: Huffman coding, Shannon Fano coding, Mutual information,
Channel capacity of discrete channel, Shannon-Hartley law; Trade -off
between bandwidth and SNR.

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