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Random Processes: Filtering, Estimation, and Detection
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  • Wiley

More About This Title Random Processes: Filtering, Estimation, and Detection

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An understanding of random processes is crucial to many engineering fields-including communication theory, computer vision, and digital signal processing in electrical and computer engineering, and vibrational theory and stress analysis in mechanical engineering. The filtering, estimation, and detection of random processes in noisy environments are critical tasks necessary in the analysis and design of new communications systems and useful signal processing algorithms. Random Processes: Filtering, Estimation, and Detection clearly explains the basics of probability and random processes and details modern detection and estimation theory to accomplish these tasks.
In this book, Lonnie Ludeman, an award-winning authority in digital signal processing, joins the fundamentals of random processes with the standard techniques of linear and nonlinear systems analysis and hypothesis testing to give signal estimation techniques, specify optimum estimation procedures, provide optimum decision rules for classification purposes, and describe performance evaluation definitions and procedures for the resulting methods. The text covers four main, interrelated topics:

* Probability and characterizations of random variables and random processes
* Linear and nonlinear systems with random excitations
* Optimum estimation theory including both the Wiener and Kalman Filters
* Detection theory for both discrete and continuous time measurements

Lucid, thorough, and well-stocked with numerous examples and practice problems that emphasize the concepts discussed, Random Processes: Filtering, Estimation, and Detection is an understandable and useful text ideal as both a self-study guide for professionals in the field and as a core text for graduate students.
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English

LONNIE C. LUDEMAN, PhD, received his doctorate from Arizona State University and is Professor Emeritus of electrical and computer engineering at New Mexico State University. In 1993, he was a Fulbright Scholar at the Aristotle University in Thessaloniki, Greece. He is the author of Fundamentals of Digital Signal Processing, which won Choice magazine's award for Outstanding Engineering Book of the Year.

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English

Preface xv

1 Experiments and Probability 1

2 Random Variables 37

3 Estimation of Random Variables 133

4 Random Processes 179

5 Linear Systems: Random Processes 247

6 Nonlinear Systems: Random Processes 295

7 Optimum Linear Filters: The Wiener Approach 335

8 Optimum Linear Systems: The Kalman Approach 383

9 Detection Theory: Discrete Observation 423

10 Detection Theory: Continuous Observation 511

Appendixes

Index 599

  • English

English

"The reader will find an excellent presentation ranging from the basic concepts of probability theory to the advanced topics of RP, filtering, estimation and detection." (IIE Transactions on Operations Engineering)
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