Statistical Signal Processing and Modeling

Course content

Random processes. Power spectral density. Auto-regressive processes. Moving-average processes. Periodic processes. Spectral decomposition. Whitening filter. Innovations. Stochastic signal models. Yule-Walker equations. Linear-time invariant filtering of random processes. Estimation. Linear Estimators. Linear minimum mean square error estimator. Wiener filter. Optimal FIR filters. Optimal IIR filters. Filtering, prediction, smoothing applications. Reduced dimension stochastic signal representation. Karhunen-Loeve transform.