This video discusses some fundamental types of stochastic processes,
including predictable processes, unpredictable processes, independent
and independent and identically distributed processes, uncorrelated, and
orthogonal processes, and an introduction to stationary processes.
These fundamental processes are introduced mainly to define terminology
for the rest of the course, but also to discuss the importance of some
of these processes in signal modelling, and processes that can be dealt
with in a mathematically convenient manner. There are no examples
associated with this topic, but there is a MATLAB example for generating
a linear combination of a predictable and unpredictable process (and
Wold's decomposition theorem is mentioned in passing).
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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