course: Statistical Signal Processing

teaching methods:
lecture with tutorials
overhead transparencies, Moodle, computer based presentation, black board and chalk
responsible person:
Prof. Dr.-Ing. Georg Schmitz
Prof. Dr.-Ing. Georg Schmitz (ETIT), wiss. Mitarbeiter (ETIT)
offered in:
winter term

dates in winter term

  • start: Wednesday the 13.10.2021
  • lecture Wednesdays: from 10:15 to 11.45 o'clock in ID 03/445
  • tutorial Tuesdays: from 08:15 to 09.45 o'clock in ID 03/445


Date according to prior agreement with lecturer.

Form of exam:oral
Registration for exam:FlexNow


Students know important stochastic processes, that are used to model measured signals. They can select suitable models for the most common applications, understand their properties, and can apply these models e.g. for parameter estimation. Students have acquired subject-specific knowledge of important standard methods of stochastic signal processing (e.g. Kalman filters, adaptive filters, Markov chains and Markov chain Monte Carlo methods) and are able to apply them to known and new problems. Through the exercises and computer exercises (practical exercise), students are enabled to apply the acquired knowledge in a team, to explain and evaluate solution approaches and to discuss them. The important basic concepts of stochastic signals are also taught in English, so that students are able to access the international literature in the field of statistical signal processing.

Translated with (free version)


The lecture 'Statistical Signal Processing' introduces stochastic signal models, and some important engineering applications of stochastic signals. First, the most important stochastic processes for signal models, such as white noise, Poisson processes or Markov chains, are discussed. For the applications, the lecture focuses on discrete-time optimal filtering techniques. Here, the focus is on the Kalman filter, which is derived for the example of one-step forward prediction. Subsequently, selected methods of stochastic signal processing are discussed, including in particular parametric and nonparametric spectral estimation, maximum-likelihood estimators, detectors, and adaptive filters (LMS, RLS).



recommended knowledge

Knowledge of stochastic signals corresponding to those taught in the lecture "Stochastic Signals" in the Bachelor's programme Electrical Engineering and Information Technology.


  1. Kay, Steven M. "Fundamentals of Statistical Signal Processing, Volume I: Estimation Theory", Prentice Hall, 1993
  2. Kay, Steven M. "Fundamentals of Statistical Signal Processing, Volume II: Detection Theory ", Prentice Hall, 1998
  3. Kay, Steven M. "Fundamentals of Statistical Signal Processing, Volume III: Practical Algorithm Development ", Prentice Hall, 2013
  4. Kay, Steven M. "Intuitive Probability and Random Processes using MATLAB", Prentice Hall, 2005


Die Vorlesungs- und Übungsunterlagen werden über Moodle zur Verfügung gestellt. Eine Selbsteinschreibung in den Kurs ist ab dem 15.10.2020 mit dem Passwort "Kalman" möglich.