Signal Processing

Download An Introduction to Statistical Signal Processing by Robert M. Gray PDF

By Robert M. Gray

This quantity describes the fundamental instruments and strategies of statistical sign processing. At each level, theoretical rules are associated with particular functions in communications and sign processing. The booklet starts off with an outline of uncomplicated likelihood, random items, expectation, and second-order second idea, by means of a wide selection of examples of the most well-liked random technique versions and their simple makes use of and houses. particular functions to the research of random signs and platforms for speaking, estimating, detecting, modulating, and different processing of signs are interspersed in the course of the textual content.

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Thus we have from countable additivity that P ∞ lim Fn = P n→∞ Fk =P k=0 ∞ = ∞ P (Gk ) = lim n→∞ k=0 Gk k=0 n P (Gk ), k=0 where the last step simply uses the definition of an infinite sum. Since Gn = Fn − Fn−1 and Fn−1 ⊂ Fn , P (Gn ) = P (Fn ) − P (Fn−1 ) and hence n n P (Gk ) = P (F0 ) + k=0 k=1 (P (Fn ) − P (Fn−1 )) = P (Fn ). , P (Fn ) = + P (Fn ) − P (Fn−1 ) + P (Fn−1 ) − P (Fn−2 ) + P (Fn−2 ) − P (Fn−3 ) .. + P (F1 ) − P (F0 ) + P (F0 ). Combining these results completes the proof of the following statement.

It is tempting to call an assignment P of numbers to subsets of a sample space a probability measure if it satisfies these three properties, but we shall see that a fourth condition, which is crucial for having well-behaved limits and asymptotics, will be needed to complete the definition. 2) defines a probability measure. In fact, this definition is complete in the simple case where the sample space Ω has only a finite number of points since in that case limits and asympotics become trivial. A sample space together with a probability measure provide a mathematical model for an experiment.

The countably infinite version of DeMorgan’s “laws” of elementary set theory (see Appendix A) requires that if Fi , i = 1, 2, . . , are all members of a sigma-field, then so is ∞ i=1 Fi = ∞ c Fic . 3 Probability spaces 31 of any of the set-theoretic operations (union, intersection, complementation, difference, symmetric difference) performed on events must yield other events. Observe, however, that there is no guarantee that uncountable operations on events will produce new events; they may or may not.

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