DISCRETE RANDOM SIGNALS AND

STATISTICAL SIGNAL PROCESSING

Charles W. Therrien
Prentice Hall, 1992. 727 pages with accompanying diskette.

CONTENTS
CHAPTER 1 - INTRODUCTION
1.1 Discrete Random Signals
1.2 Statistical Signal Processing
1.3 Applications of Statistical Signal Processing
1.4 Where To from Here?

CHAPTER 2 - RANDOM VECTORS

2.1 Random Vectors and Their Characterization
2.2 Expectation and Moments
2.3 The Multivariate Gaussian Density Function
2.4 Linear Transformations of Random Vectors
2.5 Reversal Operations for Random Vectors
2.6 Diagonalization of the Correlation Matrix by a Unitary Transformation
2.7 Diagonalization of the Correlation Matrix by Triangular Decomposition
2.8 Chapter Summary

CHAPTER 3 - RANDOM PROCESSES

3.1 Random Signals and Sequences
3.2 Simple Discrete Random Processes
3.3 Markov Processes
3.4 Martingales and Absolutely Fair Processes
3.5 Periodic and Almost Periodic Random Processes
3.6 Gaussian Random Processes: Continuous and Discrete
3.7 Chapter Summary

CHAPTER 4 - SECOND MOMENT ANALYSIS

4.1 The Correlation and Covariance Functions
4.2 Correlation and Covariance Matrices
4.3 Cross-Correlation and Covariance
4.4 Frequency and Transform Domain Description of Random Process
4.5 Symmetry Properties of Correlation and Spectra for Complex Random Processes
4.6 The Discrete Karhunen-Loeve Transform
4.7 Periodic and Almost Periodic Processes
4.8 Sampled Continuous Random Processes
4.9 White Noise
4.10 Higher-Order Moments
4.11 Chapter Summary

CHAPTER 5 - LINEAR TRANSFORMATIONS

5.1 Transformation by Linear Systems
5.2 Difference Equation Representation of Linear Shift-Invariant Transformations
5.3 Spectral Representations of Linear Shift-Invariant Transformations
5.4 The Matched Filter
5.5 Spectral Factorization and Innovations Representation of Random Processes
5.6 Transformation of Higher-Order Moments
5.7 Chapter Summary

CHAPTER 6 - ESTIMATION
6.1 Estimation of Parameters
6.2 Estimation of First and Second Moments for a Random Process
6.3 Bayes Estimation of Random Variables
6.4 Linear Mean-Square Estimation
6.5 Chapter Summary

CHAPTER 7 - OPTIMAL FILTERING

7.1 The Orthogonality Principle
7.2 Linear Predictive Filtering
7.3 General Optimal Filtering-the FIR Case
7.4 General Optimal Filtering-the IIR Case
7.5 Recursive Filtering
7.6 Wold Decomposition
7.7 Chapter Summary

CHAPTER 8 - LINEAR PREDICTION

8.1 Another Look at Linear Prediction
8.2 The Autoregressive (AR) Model
8.3 Linear Prediction for AR Processes
8.4 Backward Linear Prediction and the Anticausal AR Model
8.5 The Levinson Recursion
8.6 Lattice Representation for the Prediction Error Filter
8.7 Partial Correlation Interpretation of the Reflection Coefficients
8.8 Minimum-Phase Property of the Prediction Error Filter
8.9 The Schur Algorithm
8.10 "Split" Algorithms
8.11 Relations to Triangular Decomposition
8.12 Lattice Representation for the FIR Wiener Filter
8.13 Chapter Summary

CHAPTER 9 - LINEAR MODELS

9.1 Linear Modeling of Random Processes
9.2 Estimation of Model Parameters from Data
9.3 Principles of Least-Squares
9.4 AR Modeling via Linear Prediction
9.5 ARMA Modeling: A Deterministic Approach
9.6 Least Squares Methods and the Yule-Walker Equations
9.7 Examples and Comparisons
9.8 Chapter Summary

CHAPTER 10 - SPECTRUM ESTIMATION

10.1 Classical Spectrum Estimation
10.2 Spectrum Estimation Based on Linear Models
10.3 "Maximum Likelihood" Spectrum Estimation
10.4 Subspace Methods: Estimating the Discrete Components
10.5 References to Advanced Topics
10.6 Chapter Summary