Index

A
Algebra of Events:
Complement 10
Equally likely outcomes 10
Intersection 10
Mutually exclusive 10
Mutually exhaustive 10
Union 10
Algebraic properties of set operations:
Associative laws 5
Commutative laws 5
De-morgans laws 5
Distributive laws 5
Idempotent laws 5
Identity laws 5
Autocorrelation 158
Autocorrelation function 227

B
Band-limited random process 231, 237
Band-limited white noise 234
Band-pass random process 230, 231
Bayes theorem 18
Bandwidth of P.S.D 199
Bernoulli distribution 45
Binomial distribution 46

C
Central limit theorem 109
Characteristic function, 78
Classification of random processes:
Continuous random process 151
Continuous random sequence 151
Discrete random process 151
Discrete random sequence 151
Colored noise 235
Conditional density function 57
Conditional distribution function 57
Conditional expectations 69

Conditional probability 15
Correlation coefficient 132
Correlation 158
Covariance function 163
Covariance matrix 133
Cross correlation function 228
Cross correlation 160
Cross covariance function 163
Cross power spectral density 200, 229
Cumulative distributive function 36, 153

D
Deterministic and Nondeterministic random
process 152
Discrete time random process 206
Discrete time random sequence 207
Division of two random processes 107

E
Ergodicity:
Autocorrelation ergodicity 173
Mean ergodicity 171
Events:
Compound event 9
Null event 9
Occurrence of an event 9
Simple event 9
Expectation of function of a R.V. 69
Expectation 67 126
Exponential density function 51

G
Gaussian (normal) distribution 53
Gaussian random process 176

I
Inequalities:
Chebyshev inequality 75
Markov inequality 74
267

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Pro b a b ility Theo ry a nd Ra nd o m Pro c esses

J
Joint characteristic function 131
Joint distribution function 96
Joint gaussian R.V. 131
Joint moment generating function 130
Joint moments:
About the mean 128
About the origin 127
Joint probability density 98 180
Joint probability 14

L
Linear systems with random inputs 226
Linear systems 223
Linear transformations of gaussian R.V. 138
Low pass random process 230, 231
LTI systems 224

O
Outcome 8

P
Point conditioning 102
Poisson distribution function 48
Poisson random process 177
Power density spectrum (power spectral
density) 191, 192, 229
Probability:
Axiometic definition 11
Classical definition 11
Relative frequency definition 11

R
Random experiment 8
Random process 149
Random variable 35
Random vector 95
Representation of sets:
Roster method 2
Set builder method 2

S
Sample function 167
Sample space 8
Set operations:
Complement 5
Difference 5

Disjoint 5
Intersection 4
Union 4
Set(s):
Countable set 2
Equal sets 3
Equivalent sets 3
Finite set 2
Infinite set 2
Null set or empty set or void set 22
Power set 3
Singleton set or singlets 3
Subsets 3
Shot noise 237
Stationary random processes:
First order stationary 154
Second order stationary 154
N-order stationary 155
Strict sense stationary 155
Wide-sense stationary 154
Statistical independence 17
Sum of N random variables 106
Sum of two random variables 105

T
Thermal noise 236
Time averages 167
Total probability 17
Transformations of continuous
random variables:
Monotonic decreasing function, 83
Monotonic increasing function, 81
Monotonic Transformations, 81
Non monotonic transformations, 83
Transformations of discrete random variables 84
Transformations of multiple random variables:
Multiple function 136
Single function 136

V
Variance of time averages 169
Variance 67, 71, 126
Vector random variable 95
Venndiagrams 6

W
White colored noise 236
White noise 233
Wiener-Khintchine relation 197, 204