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New York University Polytechnic School of Engineering    
  Feb 20, 2018
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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BE-GY 6453 Probability and Stochastic Processes

3 Credits
Continuous and discrete random variables and their joint probability distribution and density functions; Functions of one random variable and their distributions;  Independent random variables and conditional distributions;  One function of one and two random variables; Two functions of two random  variables and their joint density functions; Jointly distributed discrete random variables and their functions; Characteristic functions and higher order moments; Covariance, correlation, orthogonality;  Jointly Gaussian random variables; Linear functions of Gaussian random variables and their joint density functions. Stochastic processes and the concept of Stationarity; Strict sense stationary (SSS) and wide sense stationary (WSS) processes; Auto correlation function and its properties; Poisson processes and Wiener processes;  Stochastic inputs to linear time-invariant (LTI)  systems and their input-output autocorrelations;   Input-output power spectrum for linear systems with stochastic inputs; Minimum mean square error estimation (MMSE) and orthogonality principle; Auto regressive moving average (ARMA) processes and their power spectra.

Prerequisite(s): Graduate status
Also listed under: EL-GY 6303 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

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