Random Signal Analysis and Estimation Theory (3 Cr. Hrs.)
EE 782

Fall 2013
Outline
Derive and use batch version of
weighted least squares.
Recursive computation (later).
Explain the effect of weights on
weighted least squares.
LeastSquares Estimation:
Batch Processing
M. Sami Fadali
Professor of Electrical Engineering
Univer
Random Signal Analysis and Estimation Theory (3 Cr. Hrs.)
EE 782

Fall 2013
Outline
Math Review
M. Sami Fadali
Professor of Electrical Engineering
Matrix identities.
Quadratic forms.
Vector Calculus.
Pseudoinverse.
Trace of a matrix and its properties.
Partitioned matrices.
1
Important Matrix Identities
Transpose
Partitioned Matr
Random Signal Analysis and Estimation Theory (3 Cr. Hrs.)
EE 782

Fall 2013
Outline
Estimation
M. Sami Fadali
Professor of Electrical Engineering
University of Nevada, Reno
Modeling.
Choice of model.
The linear model.
Example.
1
2
Representation
Modeling
Representation: Which mathematical model to
use?
Measurement: What should we
Random Signal Analysis and Estimation Theory (3 Cr. Hrs.)
EE 782

Fall 2013
Outline
Random variables.
CDF and pdf.
Joint random variables.
Correlated, independent, orthogonal.
Correlation, convolution, correlation
coefficient.
Normal distribution.
Random Variables
M. Sami Fadali
Professor of Electrical Engineering
University of
Random Signal Analysis and Estimation Theory (3 Cr. Hrs.)
EE 782

Fall 2013
Outline
Review of Probability Theory
M. Sami Fadali
Professor of EE
University of Nevada, Reno
Probability definitions.
Axiomatic definition of probability.
Joint probability.
Marginal probability.
Bayes theorem.
1
2
Classical (Intuitive) Definition of
Pr