Random Variables & Stochastic Processes

For a full treatment of random variables and stochastic processes (sequences of random variables), see, e.g., [185]. For practical every-day signal analysis, the simplified definitions and examples below will suffice for our purposes.

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Subsections

• Probability Distribution
• Independent Events
• Random Variable
• Stochastic Process
• Stationary Stochastic Process
• Expected Value
• Mean
• Sample Mean
• Variance
• Sample Variance

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written by Julius Orion Smith III
Julius Smith's background is in electrical engineering (BS Rice 1975, PhD Stanford 1983). He is presently Professor of Music and Associate Professor (by courtesy) of Electrical Engineering at Stanford's Center for Computer Research in Music and Acoustics (CCRMA), teaching courses and pursuing research related to signal processing applied to music and audio systems. See http://ccrma.stanford.edu/~jos/ for details.