ENCS6161 - Probability and Stochastic Processes

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Department of Electrical and Computer Engineering
Concordia University
ENCS6161 - Probability and Stochastic Processes
COURSE OUTLINE
Instructor:
Dr. Dongyu Qiu, Office: EV5.211, Tel: 848-2424 ext 3097
e-mail: [email protected]
Office Hours: Wednesdays 1:30-3:00PM
Class Time and Location: Mondays 5:45-8:15PM H415
Textbook:
Alberto Leon-Garcia, Probability, Statistics, and Random Processes For Electrical
Engineering, 3rd. Ed. Prentice Hall, 2008.
Course Website:
http://www.ece.concordia.ca/~dongyu/ENCS6161/
Course Material:
o
Probability: Random experiments, axioms of probability, conditional probability
and statistical independence.
o
Random Variables: CDF and PDF, functions of random variables, expected
value of random variables, Chebyshev inequality, characteristic function,
probability generating function, entropy.
o
Multiple random variables: joint PDF, conditional probability and conditional
expectation, correlation and covariance, jointly Gaussian random variables,
Mean Square Estimation.
o
Sum of random variables, Law of Large Numbers, Central Limit Theorem,
Confidence Intervals.
o
Random Processes: Mean, Autocorrelation and Autocovariance, Ergodicity,
Stationarity.
o
Filtering of Random Signals: Power Spectral Density, Response of Linear
Systems to Random Signals.
o
Markov Chains and the Elements of Queuing Theory.
Grading Scheme:
Midterm:
35%
Final:
65%
Important Notice:
o
Failing to write the midterm results in losing the 35% assigned to the midterm.
In the case of medical emergency, a student may be given permission to re-write
the midterm.
o
Although assignments do not carry any marks, they are very important for the
understanding of the course material. Therefore, you are strongly encouraged to
do them on time and with sufficient care.
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