ECE 534  Random Processes (Fall 2019)
Department of Electrical and Computer Engineering
University of Illinois at UrbanaChampaign
Lectures: Tuesdays and Thursdays at 11:00AM  12:20PM in Room 2017, ECE Building.
Instructor: Ilan Shomorony, ilans@illinois.edu, 324 CSL. Office hours: Tuesday 1:303:00pm
TAs: Parisa Karimi, parisa2@illinois.edu. Office hours: TBD
Leda Sari, lsari2@illinois.edu. Office hours: TBD
Recitations: TBD
Prerequisites: ECE 313 (Undergraduate Probability); Knowledge of linear systems and undergraduate real analysis will be helpful
Text: B. Hajek, Random Processes for Engineers. Available at
http://hajek.ece.illinois.edu/ECE534Notes.html
Topics
 Probability Review
 Convergence of a Sequence of Random Variables
 Minimum Mean Squared Error Estimation
 Jointly Gaussian random variables and vectors
 Random Walks and Brownian Motion
 DiscreteTime Markov Chains
 ContinuousTime Markov Chains and Poisson Processes
 Stationarity, WSS and Ergodicity
 Martingales and the AzumaHoeffding Inequality
 Random Processes Through Linear Systems
 Kalman and Wiener Filtering
 Other topics as time permits
Grading
 Homework 15%
 Probability Review Quiz  10%
 First midterm exam  20%
 Second midterm exam  20%
 Final Exam  35%
