California State University, FullertonDepartment of Electrical Engineering

Fall 2015

Course: EG-EE 580 Analysis of Random Signals

Instructor: Dr. Shahin Ghazanshahi

Office: E-210

Phone: (657) 278-3664

e-mail: sghazanshahi@fullerton.edu

Class Time: Tu. Th. 5:30-6:45

Office Hours: Tu. 11:15 - 12:15 pm., 3:45-4:30Th. 11:15 -12:15 pm., 3:45-4:30

Course Description: Random processes pertinent to communications, control and other physical applications, Markov sequences and processes, the orthogonality principle.

19:15Prerequisites: EG-EE 323 and EG-EE 409

Text book: Probability and Random Processes for Electrical Engineering Alberto Leon-Garcia, Third Edition

References: Kalman Filter Theory and PracticeGrewal, Andrews (Prentice Hall, 2001)Introduction to Random Processes with Application to Signals

and Systems. W. A. Gardner (McGraw-Hill, 1990).

Course OutlineWeeks Subjects

Review of probability, random variables, probability density and 3 distribution functions, function of random variables, joint distribution and

density functions, statistical properties of random variables.

2 Stochastic processes, stochastic sequences, stationarity, correlation, ergodicity, power spectral density (PSD).

1 Review and midterm # 1.

2 PSD relations for linear systems, white noise, Wiener, poisson and markov processes, Shot noise

3 Linear systems models of random processes and sequences, shaping filters and state augmentation, covariance propagation, orthogonality principle.

1 Review and midterm # 2.

3 Application to estimation problems, mean square estimation, linear optimal filters, predictors and smoothers, application to physical

systems, Kalman filters, Wiener filters.

Exams: The midterm tests will cover specific lecture topics. The final exam will be comprehensive. If you have any compelling reasons for not being able to attend the midterm test, prior notification to the instructor will be required. A make-up test may be provided. The final exam date is mandatory and required for successful completion of this course.

Grading Policy:

Relative Weight Factor

2 Midterm tests 25% eachFinal exam (comprehensive) 35%Homework 15%

Final Exam: Thursday Dec. 17, 5:00 – 6:50 p.m.

**Late homework will not be accepted**

Academic Dishonesty:Academic dishonesty is not tolerated and will result in at least a course grade penalty to be determined by the severity of the dishonesty. Incidents of dishonesty will also be reported to the Office of Judicial Affairs, http://www.fullerton.edu/deanofstudents/Judicial/. It is each student’s responsibility to avoid academic dishonesty and to know the university’s policy regarding such.