Additional, optional reading is listed in the Course materials.
The course is based on Lecture Notes and a Textbook. The Lecture Notes have been adapted from Prof. Rolf Riedi, who taught this course for a number of years. Handouts will be distributed in hardcopy form in class.
|
No. |
Date |
Topic |
Homework |
Reading Assignment |
Notes, Handouts |
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|
1 |
Aug 27 |
Orientation, Introduction |
pp 1 - 7 | |||||||
|
2 |
Aug 29 |
Probability space, basics |
Review Combinatorics, pp 24 - 31 | |||||||
|
Sep 3 |
NO CLASS (Labor Day) |
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|
3 |
Sep 5 |
Probability space, basics, cont'd |
pp 1 - 24 | |||||||
|
4 |
Sep 10 |
random variable, CDF, PMF |
HW1 pdf, due Sep 17
|
pp 1 - 24, 58 - 66 | ||||||
|
5 |
Sep 12 |
pdf of random variable; |
|
pp 68 - 80 | ||||||
|
6 |
Sep 17 |
Functions of one random variable; |
|
pp 116 - 134, 169 - 175 | ||||||
|
7 |
Sep 19 |
Expectation, Stieltjes integral, cont'd; |
HW2 pdf, due Sep 26
|
pp 192 - 196 | ||||||
|
8 |
Sep 24 |
Joint distributions, cont'd; |
pp 88 - 99, 32 - 44, 134 - 152 | |||||||
|
9 |
Sep 26 |
Joint Gaussian r.v.; |
pp 88 - 99, 134 - 152, 196 - 205 | optional: pp 269 - 275 | ||||||
|
Material for QUIZ: | Date of QUIZ: Oct 10 In class, 50 min Open only 2 handwritten pages
|
| ||||||||
|
10 |
Oct 1 |
Conditional CDF and pdf, cont'd |
|
pp 80 - 88, 103 - 108 pp 183 - 192
| ||||||
|
11 |
Oct 3 |
Conditional expectation, cont'd |
|
pp 183 - 192
pp 552 - 562, 199 -200 | ||||||
|
12 |
Oct 8 |
Estimation of r.v., cont'd |
|
pp 552 - 562, 199 - 200 269 - 276
| ||||||
|
13 |
Oct 10 |
QUIZ |
HW4 pdf, due Oct 17
|
| ||||||
|
Oct 10 |
Notice: No office hour today |
|
| |||||||
|
Oct 15 |
RECESS, NO CLASS |
|
| |||||||
|
14 |
Oct 17 |
Estimation of r.v., cont'd, LMMSE |
HW5 pdf, due Oct 24
|
pp 216 - 225, 269 - 281 also recall 251 - 258
| ||||||
|
15 |
Oct 22 |
Characteristic function, cont'd |
|
pp 216 - 225, 269 - 281, pp 205 - 210 | ||||||
|
16 |
Oct 24 |
Inequalities, cont'd |
HW6 pdf due Oct 31 |
pp 375 - 382, 225 - 230 | ||||||
|
17 |
Oct 29 |
Convergence of r. sequences, cont'd |
|
pp 375 - 382, 225 - 230 pp 383 - 387, 225 - 230, 214 - 216 | ||||||
|
MATERIAL for MIDTERM: UP TO HERE | Midterm handed out: Nov 7, due Nov 14 Take home, 3 hours Open notes, closed books. notes = only *your own* handwritten notes, length of notes is unlimited
|
| ||||||||
|
18 |
Oct 31 |
Limit theorems, cont'd |
pp 383 - 387, 225 - 230, 214 - 216 pp 400 - 405 | |||||||
|
Nov 2 |
REVIEW session (optional), DH 1046, 11:00 am | |||||||||
|
19 |
Nov 5 |
Random processes; basics, cont'd | pp 400 - 405, pp 406 - 410 | |||||||
|
20 |
Nov 7 |
Renewal processes, cont'd: Poisson process |
|
pp 406 - 410, also 320 - 322 | ||||||
|
21 |
Nov 12 |
Renewal processes: Poisson process, cont'd |
HW7 pdf due Nov 19
|
pp 400 - 414 pp 418 - 421, 429-430, also 317 - 318, 326 - 328 |
Optional reading: S & W pp 324 - 326 Pradhu pp 159-160 |
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|
22 |
Nov 14 |
fdd consistency; Gaussian r. proc. |
|
pp 418 - 421, 317 - 318, 323 - 326 | Wong & Hajek 37 - 40 | |||||
|
23 |
Nov 19 |
fdd consistency; Markov r. proc. Gauss-Markov r. proc. |
HW8 pdf due Nov 26 |
pp 421 - 430 "on your own": pp 436-437 | ||||||
|
Nov 21 |
No class; Thanksgiving | |||||||||
|
24 |
Nov 26 |
Power spectral density; cross-corr. |
HW9 pdf due Dec 3 |
pp 443 - 448, 487 - 497 337, 348 - 354 | ||||||
|
25 |
Nov 28 |
M.s. calculus cont'd; |
|
pp 501 - 510, 439 - 442 436, 444, 446-448 487-502 | Optional: S&W 445 | |||||
|
26 |
Dec 3 |
|
|
pp 501 - 510, 436, 439 - 444, 447 - 452 337-351; 502-506 | Optional: S&W 445 | |||||
|
MATERIAL for FINAL: up to here |
\ |
Final test handed out on Dec 7, | ||||||||
|
27 |
Dec 5 |
Last class |
|
pp 518 - 526 | ||||||
|
28 |
Dec 7 |
|
OPTIONAL DISCUSSION SESSION: 11am-12:30pm DH 1046
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