Chapter 2

Probability and Stochastic Processes

Abstract

This chapter is an introduction to probability and statistics, providing basic definitions and properties related to probability theory and stochastic processes to help readers refresh their memory and to establish a common language and a commonly understood notation. Besides probability and random variables, random processes are briefly reviewed, and some basic theorems are stated. Readers who are interested in statistical signal processing/adaptive processing can focus on the random processes section, while those who ascribe to a probabilistic machine learning point of view can focus on the section presenting various distributions. At the end of the chapter, basic definitions and properties ...

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