统计信号处理第一章.pdf

Advance Signal Processing Shanghai Jiaotong University Yan She yanshe@sjtu.edu.cn Preface  The principal objectives – A unified theory – Implementation – Applications Of modern signal processing methods.  Provide a introduction to basic concepts and methodologies that can provide the foundation for further study, research and application to new problems. Approach and Prerequisites Approach – Understand the fundamental mathematical principles – Appreciate its limitations – Provide sufficient details for its practical Implementation Prerequisites – Basic digital signal processing – Probability theory – Linear algebra Organization 1. Introduction (signal analysis and filtering) 2. Fundamentals of Discrete-Time Signal Processing 3. Random Variables, Probability Models 4. Parametric linear signal models (both deterministic and stochastic) 5. Estimation of correlation and spectral densities 6. Optimum Linear Filters 7. Least-Squares Filtering and Prediction 8. Adaptive Filters 9. Array Processing Theory and Practice • Computer experiments using MATLAB functions • Seminar • Term Paper • Examination Bibliography: 1. D. G. Manolakis, V. K. Ingle and S.M. Kogon ： Statistical and Adaptive Signal Processing, McGraw- Hill, 2005 2. 刘福声，罗鹏飞: 统计信号处理，国防科技大学出 版社，1999 3. S. V. Vaseghi: Advanced Digital Signal Processing and Noise Reduction, Second Edition, John Wileys ’ Sons. LTD., 2000 4. 张贤达:现代信号处理，清华大学出版社，2002 Introduction 1.1 Random signal Discrete -time signal or time series ( )：A set of x n observations taken sequentially in time, space, or some other independent variable, basically a sequence of real or complex numbers called samples. The time series are said to be deterministic if we ma