- Hardcover: 699 pages
- Publisher: Prentice Hall; 3 edition (August 3, 2001)
- Language: English
- ISBN-10: 0130200719
- ISBN-13: 978-0130200716
- Product Dimensions: 7.2 x 1.1 x 9.5 inches
- Shipping Weight: 2.8 pounds (View shipping rates and policies)
- Average Customer Review: 15 customer reviews
- Amazon Best Sellers Rank: #893,936 in Books (See Top 100 in Books)
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Probability and Random Processes with Applications to Signal Processing (3rd Edition) 3rd Edition
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Excerpt. © Reprinted by permission. All rights reserved.
The first edition of this book (1986) grew out of a set of notes used by the authors to teach two one-semester courses on probability and random processes at Rensselaer Polytechnic Institute (RPI). At that time the probability course at RPI was required of all students in the Computer and Systems Engineering Program and was a highly recommended elective for students in closely related areas. While many undergraduate students took the course in the junior year, many seniors and first-year graduate students took the course for credit as well. Then, as now, most of the students were engineering students. To serve these students well, we felt that we should be rigorous in introducing fundamental principles while furnishing many opportunities for students to develop their skills at solving problems.
There are many books in this area and they range widely in their coverage and depth. At one extreme are the very rigorous and authoritative books that view probability from the point of view of measure theory and relate probability to rather exotic theorems such as the Radon-Nikodym theorem (see for example Probability and Measure by Patrick Billingsley, Wiley, 1978). At the other extreme are books that usually combine probability and statistics and largely omit underlying theory and the more advanced types of applications of probability. In the middle are the large number of books that combine probability and random processes, largely avoiding a measure theoretic approach, preferring to emphasize the axioms upon which the theory is based. It would be fair to say that our book falls into this latter category. Nevertheless this begs the question: why write or revise another book in this area if there are already several good texts out there that use the same approach and provide roughly the same coverage? Of course back in 1986 there were few books that emphasized the engineering applications of probability and random processes and that integrated the latter into one volume. Now there are several such books.
Both authors have been associated (both as students and faculty) with colleges and universities that have demanding programs in engineering and applied science. Thus their experience and exposure have been to superior students that would not be content with a text that furnished a shallow discussion of probability. At the same time, however, the authors wanted to write a book on probability and random processes for engineering and, applied science students. A measure-theoretic book, or one that avoided the engineering applications of probability and the processing of random signals, was regarded not suitable for such students. At the same time the authors felt that the book should have enough depth so that students taking 2nd year graduate courses in advanced topics such as estimation and detection, pattern recognition, voice and image processing, networking and queuing, and so forth would not be handicapped by insufficient knowledge of the fundamentals and applications of random phenomena. In a nutshell we tried to write a book that combined rigor with accessibility and had a strong self-teaching orientation. To that end we included a. large number of worked-out examples, MATLAB codes, and special appendices that include a review of the kind of basic math needed for solving problems in probability as well as an introduction to measure theory and its relation to probability. The MATLAB codes, as well as other useful material such as multiple choice exams that cover each of the book's sections, can be found at the book's web site http://www.prenhall.com/stark.
The normal use of this book would be as follows: for a first course in probability at, say the junior or senior year, a reasonable goal is to cover Chapters 1 through 4. Nevertheless we have found that this may be too much for students not well prepared in mathematics. In that case we suggest a load reduction in which combinatorics in Chapter 1 (parts of Section 1.8), failure rates in Chapter 2 (Section 2.7), more advanced density functions and the Poisson transform in Chapter 3 are lightly or not covered the first time around. The proof of the Central Limit Theorem, joint characteristic functions, and Section 4.8, which deals with statistics, all in Chapter 4, can, likewise, also be omitted on a first reading.
Chapters 5 to 9 provide the material for a first course in random processes. Normally such a course is taken in the first year of graduate studies and is required for all further study in signal processing, communications, computer and communication networking, controls, and estimation and detection theory. Here what to cover is given greater latitude. If pressed for time, we suggest that the pattern recognition applications and simultaneous diagonalization of two covariance matrices in Chapter 5 be given lower preference than the other material in that chapter. Chapters 6 and 7 are essential for any course in random processes and the coverage of the topics therein should be given high priority. Chapter 9 on signal processing should, likewise be given high priority, because it illustrates the applications of the theory to current state-of-art problems. However, within Chapter 9, the instructor can choose among a number of applications and need not cover them all if time pressure becomes an issue. Chapter 8 dealing with advanced topics is critically important to the more advanced students, especially those seeking further studies toward the Ph.D. Nevertheless it too can be lightly covered or omitted in a first course if time is the critical factor.
Readers familiar with the 2nd edition of this book will find significant changes in the 3rd edition. The changes were the result of numerous suggestions made by lecturers and students alike. To begin with, we modified the title to Probability and Random Processes with Applications to Signal Processing, to better reflect the contents. We removed the two chapters on estimation theory and moved some of this material to other chapters where it naturally fitted in with the material already there. Some of the material on parameter estimation e.g., the Gauss-Markov Theorem has been removed, owing to the need for finding space for new material. In terms of organization, the major changes have been in the random processes part of the book. Many readers preferred seeing discrete-time random phenomena in one chapter and continuous-time phenomena in another chapter. In the earlier editions of the book there was a division along these lines but also a secondary division along the lines of stationary versus non-stationary processes. For some this made the book awkward to teach from. Now all of the material on discrete-time phenomena appears in one chapter (Chapter 6); likewise for continuous-time phenomena (Chapter 7). Another major change is a new Chapter 9 that discusses applications to signal processing. Included are such topics as: the orthogonality principle, Wiener and Kalman filters, The Expectation-Maximization algorithm, Hidden Markov Models, and simulated annealing. Chapter 8 (Advanced Topics) covers much of the same ground as the old Chapter 9 e.g., stochastic continuity, meansquare convergence, Ergodicity etc. and material from the old Chapter 10 on representation of random processes.
There have been significant changes in the first half of the book also. For example, in Chapter 1 there is an added section on the misuses of probability in ordinary life. Here we were helped by the discussions in Steve Pinker's excellent book How the Mind Works (Norton Publishers, New York, 1997). Chapter 2 (Random Variables) now includes discussions 6n more advanced distributions such as the Gamma, Chi-square and the Student-t. All of the chapters have many more worked-out examples as well as more homework problems. Whenever convenient we tried to use MATLAB to obtain graphical results. Also, being a book primarily for engineers, many of the worked-out example and homework problems relate to real-life systems or situations.
We have added several new appendices to provide the necessary background mathematics for certain results in the text and to enrich the reader's understanding of probability. An appendix on Measure Theory falls in the latter category. Among the former are appendices on the delta and gamma functions, probability-related basic math, including the principle of proof-by-induction, Jacobians for n-dimensional transformations, and material on Fourier and Laplace inversion.
For this edition, the authors would like to thank Geoffrey Williamson and Yongyi Yang for numerous insightful discussions and help with some of the MATLAB programs. Also we thank Nikos Galatsanos, Miles Wernick, Geoffrey Chan, Joseph LoCicero, and Don Ucci for helpful suggestions. We also would like to thank the administrations of Illinois Institute of Technology and Rensselaer Polytechnic Institute for their patience and support while this third edition was being prepared. Of course, in the end, it is the reaction of the students that is the strongest driving force for improvements. To all our students and readers we owe a large debt of gratitude.
John W. Woods
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Top customer reviews
During the course, I did everything I could to AVOID using this book because I could not understand why the authors chose to present the material in such a unintuitive fashion. Instead, I read many other textbooks and began to piece the "story" together for myself.
What I've realized since my introduction to this area is that (with the exception of the Papoulis and Helstrom texts), this in the only other text which is both up to date and has a treatment of stochastic processes and signal processing for electrical engineers. Additionally, I have used this book as a reference during my PhD and for a specific project at work.
I think this remains the only "accessible" graduate level introductory text for engineering student.
1. The book is poorly edited. There are a moderate number of typos. Some are in places where it is obvious what the author meant, but a few are in critical equations that could mislead the reader.
2. There are no solutions to any of the exercises included in the book. It would really help if there were solutions to either odd or even problems included so that you would know you are on the right path.
Since Amazon does not currently show the table of contents for this book, I do so for the purpose of completeness:
Chapter one is an introduction to probability. This material is covered quickly, so the reader should just use this as a review.
Chapter two introduces random variables. Included topics are the definition of a random variable, the probability density and distribution functions. This material is presented with exceptional clarity.
Functions of Random Variables are introduced in chapter three. This is one of the hardest chapters in the book, although I have not been able to find another book that explains the same material as well. This is mainly concerned with finding the probability density functions of f(x) and f(x,y) given the pdf of the input functions. Convolution and multiple integrals abound in this chapter.
Chapter 4 is Expectation and Introduction to Estimation. This sounds straightforward, but the material on conditional expectation can get complex, although the book covers it well.
Chapter 5 is Random Vectors and Parameter Estimation. This chapter takes concepts from numerical linear algebra and applies it to random processes.
Chapter six is random sequences and introduces linear systems concepts and markov processes.
Chapters seven and eight talk about advanced concepts in random processes.
Chapter nine discusses applications of the previous eight chapters to statistical signal processing.
To get the most out of this book you should already be familiar with probability theory, multiple variable calculus, and linear algebra. If you are not, there is no way you are going to understand this material. A good companion to this book is Schaum's outline of Probability, Random Variables, and Random Processes. It covers most of the same material as this book, except that it does so with more of a mathematician's viewpoint. The Schaum's outline's solved problems also help offset the fact that there are no solutions to exercises in this book. Just remember that there is no textbook on a subject as complex as random processes that is going to negate the need for an instructor of exceptional ability.
First, the book doesn't really actually have examples, it has a bunch of problems that leave the process and answer as an "exercise for the reader". I can't begin to describe how frustrating that is... when your professor refuses to teach a concept, and your textbook expects you to magically come up with it on your own. The problems at the end of each chapter are often completely disconnected from the chapters that they are assigned to, so reading through the chapter (or previous chapters) will not help you solve them.
I've read a lot of textbooks cover to cover, and have a dual degree in Electrical and Computer Systems Engineering, and I have to say that in my entire Undergraduate education journey, I have not come across a book that came even close to being as terrible as this.
If you're thinking about buying this in hopes of learning some probability, DON'T. It won't help you learn anything except how to be really angry at the people who wrote it. If you're forced to buy this for a course that requires it, don't buy it with the intention of keeping it (you'll want to give it away or burn it when you're finished), and buy the Papoulis and/or Yates books so you can actually pass your class. Good luck!