Stochastic Processes
Prof. Dr.-Ing. Sebastian J. Schlecht Friedrich-Alexander-Universität Erlangen-Nürnberg
This site is a companion to the lecture notes on Stochastic Processes. It supplements the notes with visualizations, videos, computational examples, and interactive material — but does not duplicate the theory, derivations, or proofs.
| Chapter | Title | Topics |
|---|---|---|
| 1 | Introduction | Why randomness? Information, uncertainty, signals |
| 2 | Probability Theory and Random Variables | Probability spaces, distributions, expectations, limit theorems |
| 3 | Stochastic Processes | WSS processes, PSD, ergodicity, LTI systems |
| 4 | Estimation Theory | MLE, MAP, MMSE, Cramér–Rao bound, hypothesis testing |
| 5 | Linear Optimal Filtering | Wiener filter, matched filter, Wiener–Hopf equation |
| 6 | Hilbert Spaces | Unifying MMSE, Wiener filter, and LLS via projections |