Statistical Signal Processing

Lecturer: Wolfgang Utschick with Florian Bischeltsrieder

Target Audience: Master EI and MSCE

Language: English

Next Exam: 2020-03-10 15:30 (no responsibility is taken for the correctness of this information)

Additional Information: TUMonline and Moodle

 

Lectures/Tutorials in Summer Semester 2019

Monday11:30 – 13:00N1190
Wednesday15:00 – 16:30N1189
First lecture: Monday, 2019-04-29

Contents

Probability and stochastic processes: fundamentals revisited

Parameter estimation: statistical modeling, maximum likelihood estimation, Bayesian estimation, asymptotic optimality

Minimum mean squared error estimation: conditional mean estimation and MMSE, linear MMSE estimation, orthogonality principle, Wiener filtering

Recursive estimation of stochastic processes: Kalman filtering, particle filtering

Hypotheses testing: statistical model, Neyman-Pearson test, maximum-likelihood test, maximum-a-posteriori test, Bayesian test, risk functionals, sufficient statistics, asymptotic optimality

Selected topics and applications: confindence analysis, kernel methods, neural networks, etc.