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Chapter 2: Probability and
Stochastic Processes
Lectured by Assoc Prof. Dr. Thuong Le-Tien
August 2015
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Probability theory
Probabilistic models
The mathematical description of an experiment with uncertain outcomes
Is called a probabilistic modelformulation with three fundamental ingredients:
1. Sample space or universal set S, outcomes of a random experiment
2. A class E of events that are subsets of S
3. Probabilty law, P[A] is called the probabilty of event A
Axioms of Probability
Conditional probability
BayesRule
Suppose:
Random variables
* The random variable is a function whose domain is a sample space
and whose range is some set of real numbers
* Upper case characters denote random variables and lower case
characters denote real values taken by random variables
Distribution Function
Examples
* Uniform Distribution
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Concept of Expectation
Expected value or Mean:
Variances
Covariances
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Bayesian Inference
The parameter space being
hidden from observer.
A parameter vector t,
drawn from the parameter
space, is mapped
probabilistically onto
the observation space
producing the observation
vector x which is the sample
value of a random vector X.
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Introduce 4 notions
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Assumed that the random variable Ni are all independent of each other,
and also independent from , the issue of interest to find the Maximum
a Posteriori MAP of the . Using the vector x denote the N observation,
then the observation density of x as
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Rearranging terms and completing the square in the exponent, and introducing
A new normalization factor c(x) that absorbs all terms involving
where
This equation shows that the posterior density of the is Gaussian with mean
and variance
Therefore the MAP estimate of is
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Hypothesis testing
Binary Hypotheses: source of binary data with o and 1 are denoted by H0 and H1
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Likelihood receiver
An introduce notations:
and
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0 f X H ( x H 0 ) 1 f X H ( x H1 )
0
0 f X H ( x H 0 ) 1 f X H ( x H1 )
0
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