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Probability Theory and Stochastic Processes: Course Description and Objectives

This document outlines a course on probability theory and stochastic processes. The course aims to teach students probability theory, random variables, analysis of random processes, and their applications in communication systems. Over 4 units, students will learn fundamentals of probability, random variables and distributions, multiple random variables, and random processes. They will analyze linear systems with random inputs and properties of stochastic processes like stationarity and ergodicity. The course objectives to provide knowledge to formulate and validate probabilistic models for practical problems.

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432 views3 pages

Probability Theory and Stochastic Processes: Course Description and Objectives

This document outlines a course on probability theory and stochastic processes. The course aims to teach students probability theory, random variables, analysis of random processes, and their applications in communication systems. Over 4 units, students will learn fundamentals of probability, random variables and distributions, multiple random variables, and random processes. They will analyze linear systems with random inputs and properties of stochastic processes like stationarity and ergodicity. The course objectives to provide knowledge to formulate and validate probabilistic models for practical problems.

Uploaded by

D J
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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II Year II Semester

19EC214 PROBABILITY THEORY AND


STOCHASTIC PROCESSES

Hours Per Week :


L T P C
3 1 - 4

SOURCE:
https://
www.bocagrandehap
penings.org/wp-
content/uploads/ PREREQUISITE COURSE: Signals and Systems.
2018/11/roll-the-dice-
300x228.jpg
COURSE DESCRIPTION AND OBJECTIVES:
The objective of the course is to enable the students to learn probability theory and random
variables, gain knowledge of multiple random variables, conditional expectation, independence
of random variables, analysis of random process and applications in the communication
systems.

COURSE OUTCOMES:
Upon completion of the course, the student will be able to achieve the following outcomes.

COs Course Outcomes

1 Understand the basics of probability, sample space, events, statistics and


apply them to real life problems

2 Distinguish probability density and distribution functions for single and multiple
random variables.

3 Check whether a given random process is ergodic and/or wide sense


stationary.

4 Analyze the response of linear systems to random inputs.

SKILLS:
! Formulate, analyze and validate models applicable to practical problems.

! Use the probability, moment generating functions and characteristic functions.

! Know the multivariate normal law and how to operate jointly with Gaussian
random variables.

! Identify the different modes of convergence of sequences of random variables


as well as the precise meaning of the laws of large numbers and the central limit
theorem.

! Identify probability models based on the theoretical results presented in the


course.

VFSTR 72
Probability Theory and Stochastic Processes

UNIT - I L-8, T-3

PROBABILITY THEORY AND PROBABILITY STATISTICS: Introduction to probability, Set theory, Axioms
of probability, Sample space, Joint probability, Conditional probability, Total probability and Bayes’
theorem, Bernoulli trails and independent events.

UNIT - II L-10, T-3

RANDOM VARIABLES: Definition of a random variable, Conditions for a function to be a random


variable, Classifications of random variables, Density and distribution functions, Properties of random
variables, Binomial, Poisson, Uniform, Gaussian, Exponential and Rayleigh distributions, Conditional
distribution, Methods of defining conditioning event, Conditional density and distribution functions,
Properties, Operations on random variables - introduction, expected value of a random variable,
function of a random variable, moments about the origin, central moments, variance, chebychev’s
inequality, characteristic function, markov’s and chernoff bound, moment generating function,
monotonic transformations for a continuous and discrete random variables.

UNIT - III L-9, T-3

MULTIPLE RANDOM VARIABLES: Vector random variables, Joint distribution function and its
properties, Marginal distribution functions, Conditional distribution and density, Statistical
independence, Sum of two random variables, Central limit theorem, Multi-dimensional Gaussian
random variables.

UNIT - IV L-9, T-3

RANDOM PROCESSES: Temporal characteristics, Random process concept, Classification of


processes, Distribution and density functions, Concept of stationary and statistical independence,
Wide sense stationary, Time averages and ergodicity, Autocorrelation and cross correlation,
Covariance, Gaussian random processes, Poisson random process.

UNIT - V L-9, T-3

LINEAR SYSTEMS WITH RANDOM INPUTS: Random signal response of linear systems, System
response - convolution, mean and mean square value, Autocorrelation function; Cross-correlation
functions of input and output, Spectral characteristics of system response, Power density spectrum
of response, Cross-power density spectrums of input and output.

VFSTR 73
II Year II Semester

TEXT BOOKS:

1. Peyton Z. Peebles, “Probability, Random Variables & Random Signal Principles”, 4th
edition, TMH, 2001.
2. Athanasios Papoulis and Unni Krishna Pillai, “Probability, Random Variables
and Stochastic Processes”, 4th edition, TMH, 2002.

REFERENCE BOOKS:

1. H.Taub, Donald.L.Schilling, GoutamSaha, “Principles of Communication systems”,


3rd edition, TMH, 2007.
2. Mallikarjuna Reddy, “Probability Theory and Stochastic Processes”, 4th edition, University
Press, 2013.
4. Henry Stark and John W.Woods, “Probability and Random Processes with Application to
Signal Processing”, 3rd edition, Prentice Hall Publications, 2002.
5. H. Kobayashi, B. L. Mark, and W. Turin, “Probability, Random Processes, and Statistical
Analysis”, 1st edition, Cambridge University Press, 2012.
6. R. Gallager, “Stochastic Processes: Theory for Applications”, 1st edition, Cambridge
University Press, 2013.

VFSTR 74

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