EE 605B

Probability and Stochastic Processes I

Fall 2015

Professor Larry Russ

email:lruss@stevens.edu
201 216 5379

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Homework will assigned each week, posted on Canvas, and collected in class the following
week. Your homework submissions are expected to be your own work. Written solutions will
be posted on Canvas shortly after the assignments are due.
If you cant make it to class,
please email your solutions to me. Late assignments are not accepted without prior
approval.
You are responsible for all material presented in class or in posted notes, some of which is not in
the textbook.
There will be an examination covering lectures 1-6 during the 8 th class meeting and a final
examination covering lectures 6-12 during the final exam period.
Your final grade will be determined as follows:
Homework: 10%
Midterm Examination: 45%
Final Examination : 45%
Your expectation of me is to give you a good course and help you to understand and interpret
the natural variability in the world around us. My expectation of you is common courtesy in the
classroom: laptops closed/cell phones off/no private conversations.
Textbook: A First Course in Probability (any edition) by Sheldon Ross
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WEEK
TOPICS
HW#
1
Introduction; Axioms of Probability: Sample Spaces, 1
DeMorgans Laws, Axioms and Basic Propositions, Examples,
Principle of Inclusion and Exclusion
Combinatorial Analysis: Basic Principles, Permutations,
Combinations, Binomial and Multinomial Coefficients
2
Conditional Probability and Independence: Definitions and 2
Properties, Theorem of Total Probability, Bayes Theorem,
Independence, Applications
3
Discrete Random Variables: The Notion of a Random Variable, 3
Probability Mass Functions (pmf), Cumulative Distribution
Functions (cdf), Functions of Random Variables, Bernoulli
Random Variable, Binomial Random Variable, Multinomial
Random Variable, Geometric Random Variable, Poisson

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Random Variable, Negative Binomial Random Variable

Continuous Random Variables: Probability Density Function
(pdf), Cumulative Distribution Function (cdf), Uniform Random
Variable, Functions of Random Variables
Jointly Distributed Random Variables (Discrete and
Continuous): Joint, Marginal, and Conditional Probability
Distributions, Independent Random Variables
Mathematical Expectation: Expected Value of a Random
Variable and of Functions of a Random Variable
Properties of Expectation: Expectation of Sums, Indicator
Random Variables, Sample Means, Covariance, Variance of
Sums, Correlations
Continuous Random Variables: Normal Random Variable,
Exponential Random Variable, Memoryless Property,
Gamma/Erlangian Random Variables, Normal Approximation to
the Binomial, Cauchy Distribution
More On Jointly Distributed Random Variables: pdf of
minimum and maximum of a sample, Conditional Expectations,
Expectation of a Random Sum of Random Variables, Sums of
Independent Random Variables (discrete case)
Moment Generating Functions; Distribution of Sample Mean;
Sums of Independent Random Variables (continuous case);
Characteristic Functions
Limit Theorems: Markov and Chebyshev Inequalities, Weak Law
of Large Numbers, Central Limit Theorem, Strong Law of Large
Numbers, DeMoivre-Laplace Limit Theorems
Estimation Theory: Properties of Point Estimators; Method of
Moments; Method of Maximum Likelihood

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