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  • 8:07 PM, Saturday, 16 Oct 2021


Course Postgraduate
Semester Sem. II
Subject Code AVD621
Subject Title Statistical Signal Processing

Syllabus

Estimation Theory, Maximum Likelihood estimation (MLE): exact and approximate methods (EM, alternating max, etc), Cramer ‐ Rao lower bound (CRLB), Minimum variance unbiased estimation, best linear unbiased estimation, Bayesian inference & Least Squares Estimation , Basic ideas, adaptive techniques, Recursive LS, etc, Kalman filtering (sequential Bayes), Finite state Hidden Markov Models: forward ‐ backward algorithm, Viterbi (ML state estimation), parameter estimation (f ‐ b + EM), Monte Carlo methods: importance sampling, MCMC, particle filtering, applications in numerical integration (MMSE estimation or error probability computation) and in numerical optimization (e.g. annealing). Detection Theory: Likelihood Ratio testing, Bayes detectors, Minimax detectors, Multiple hypothesis tests Neyman ‐ Pearson detectors (matched filter, estimator ‐ correlator etc), Wald sequential test, Generalized likelihood ratio tests (GLRTs), Wald and Rao scoring tests, Applications Power Spectrum Estimation ‐ Parametric and Maximum Entropy Methods, Wiener, Kalman Filtering, Levinson ‐ Durban Algorithms Least Square Method, Adaptive Filtering, Nonstationary Signal Analysis, Wigner ‐ Ville Distribution, Wavelet Analysis. Power Spectrum Estimation, model order selection, Prony, Pisarenko, MUSIC, ESPRIT algorithms, least square estimation, cholesky, LDU ‐ OR, SV decomposition. Transversal & reasnic least square lattice filters, Signal Analysis with Higher order Spectra, Array processing, Beam forming, Time ‐ delay estimation

 

Text Books

Same as Reference

References

1. Statistical Signal Processing (Paperback) by Louis Scharf, 1 st edition,

2. Fundamentals of Statistical Signal Processing: Estimation Theory (Vol 1), Detection Theory (Vol 2), .M. Kay's, Prentical Hall Signal Processing Series, 1993

3. Linear Estimation, Kailath, Sayed and Hassibi, Prentical Hall Information and Sciences Series, 1 st edition, 2000.

4. An Introduction to Signal Detection and Estimation, Poor, H. Vincent , Springer Text in Electrical Engineering, 1994

5. Detection, Estimation, and Modulation Theory –Part I, H.Van Trees, et.al, 2 nd edition, Wiley.

6. Monte Carlo Strategies in Scientific Computing, J.S. Liu, Springer ‐ Verlag, 2001. Stochastic Simulation, B.D. Ripley, Wiley, 1987