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processes.
Random variables are dened in Chapter 2, which includes a description of many wellknown (and not so well-known) continuous and discrete parametric families of distributions and
density functions. In this chapter, the important properties and applications of distribution and
density functions are also discussed.
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Chapter 3 starts with the definition of expectation of a random variable and is extended to
functions of random variables. Moments, characteristic function, Conditional expectation and
several of their important properties are also discussed with proofs. Several techniques for
deriving the distributions of transformations of single random variable are also investigated.
Chapter 4 extends the single random variable theory to several random variables while
Chapter 5 defines operations with several random variables.
By extending the characterization of multiple random variables to be indexed by time, we
introduce random processes in Chapter 6. Various properties of a random process are covered,
such as independence, stationarity and ergodcity. Specic well-known random processes such as
the Poisson and Gaussian processes are developed and investigated.
The power spectral density of a random process is dened in Chapter 7, which is used to
describe the behavior of signals when processed (ltered) by a system and also provides various
properties of PSD.
Chapter 8 focuses on linear time-invariant systems, though some nonlinear processing is
mentioned. This Chapter also provides basic concepts of noise and its measurements.
Finally, the book closes with a number of appendixes that contain material helpful to the
student in the working examples.
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Table of Contents
1.0 Introduction
6
iii
11
15
20
21
25
25
Example Problems
31
Exercise Problems
44
48
2.0 Introduction
48
48
49
56
62
79
Example Problems
81
Exercise Problems
93
95
3.0 Introduction
95
96
3.2 Moments
101
106
110
115
120
Example Problems
121
Exercise Problems
133
iv
135
4.0 Introduction
135
135
136
139
143
145
147
152
Example Problems
155
Exercise Problems
168
170
5.0 Introduction
170
170
171
175
183
Example Problems
189
Exercise Problems
199
202
6.0 Introduction
202
202
205
211
223
6.5 Ergodicity
228
233
Example Problems
240
Exercise Problems
250
v
252
7.0 Introduction
252
252
258
262
263
267
270
Example Problems
273
Exercise Problems
387
289
8.0 Introduction
289
289
292
296
298
300
Example Problems
310
Exercise Problems
316
vi