Hamdard University

Faculty of Engineering Sciences and Technology

Graduate School of Engineering Sciences and Information Technology
Semester and Year
Credit Hour
Pre/Co-requisite(s)

: Fall 2016
: 3+0
: Probability and Statistics

Introduction:
Models in which there is uncertainty or randomness play a very important role in the analysis and design of engineering
systems. This course introduces the theory of random processes and its applications to the study of signals and noise and to the
analysis of random data.

Course Description:
Probability: Random experiments, axioms of probability, conditional probability and statistical
independence.
Random Variables: CDF and PDF, functions of random variables, expected value of random variables,
Chebyshev inequality, characteristic function, probability generating function, entropy.
Multiple random variables: joint PDF, conditional probability and conditional expectation, correlation
and covariance, jointly Gaussian random variables,Mean Square Estimation.
Sum of random variables, Law of Large Numbers, Central Limit Theorem, Confidence Intervals.
Random Processes: Mean, Autocorrelation and Autocovariance, Ergodicity, Stationarity.
Filtering of Random Signals: Power Spectral Density, Response of Linear Systems to Random Signals
Markov Chains.
Prerequisite:
Probability and Statistics (Introduction to probability and statistics. Operations on sets. Counting problems. Conditional
probability and total probability formula, Bayes' theorem. Introduction to random variables, density and distribution functions.
Expectation, variance and covariance. Basic distributions. Joint density and distribution function. Descriptive statistics.
Estimation of parameters, maximum likelihood estimator. Hypothesis testing.)

Instructor:
Prof. Dr. Vali Uddin
Email: vali.uddin@hamdard.edu.pk

Textbook:
A. L. Garcia, Probabilty and Random Processes for Electrical Engineering, Second Edition, Addison Wesley, USA,.

References:
1.
2.
3.

Papoulis and S. U. Pillai, Probability, Random Variables and Stochastic Processes, Fourth Edition, McGraw-Hill,
Inc, USA, 2002.
K.S. Shanmugan, A. M. Breipohl, Random signals: Detection, Estimation and Data Analysis, John Wiley, 1983.
P. Z. Peebles, Probability, Random Variables and Random Signal Principles (Fourth Edition), McGraw Hill, USA,
2001.

Course Objectives :
The primary goal of this course is to convey the main concepts and techniques of probability theory and stochastic
processes. At the end of the course the student will have

Acquired the fundamental concepts of probability theory ( random experiments, outcomes, events, independence,
correlation, conditional probability, distribution and density, expectations ...)

Learn some important results on probability : Total probability theorem, Bayes' theorem, transformations on random
variables, weak and strong laws of large numbers, the central limit theorem ...
Acquired fundamental concepts of stochastic processes : distributions, autocorrelation, auto covariance, stationarity,
power spectra, ergodicity .
Learn some of the most important stochastic processes used in practice to model random phenomena: Gaussian,
Poisson, Markov processes.

Course Outline
Chapter 2: Basic Concepts of Probability Theory:
Rsndom experiments, Set definitions, useful laws of probability, counting methods, joint, marginal and
conditional probabilities, independence of events.
Chapter 3: Random Variables:
Density and distribution functions, important random variables, function of random variable, expectations,
Markov and Chebyshev inequalities, transform method, entropy.
Chapter 4: Multiple Random Variable:
Vector RV, Parirs of RV, Independence, conditional probability and expectation, functions of several RV.
Chapter 5: Sum of RV:
Sum of RV, Sample mean and law of large numbers, central limit theorem.
Chapter 6: Random Processes:
Specifying random process, discrete and continuous RP, Stationarity, Time averages of RP and ergodic
theorems.
Chapter 7: Analysis and Processing of Random Signal:
Power spectral density, response of linear system.
Chapter 8: Markov Chains:
Markov Process, discrete and continuous time Markov chains.

GRADING POLICY
Midterm I
Final Examination
Assignments/Quizes

30%
50%
20%