TU Wien:Verarbeitung Stochastischer Signale VU (Matz, Winkelbauer)/Oral exam 04.08.2016
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Written exam: 42/70 Exercise points: 43/49
Random processes: ~10 minutes:
- Stationarity
- Conditions (WSS: mean constant, autocorrelation function time lag only)
- Autocorrelation function of stationary processes
- Definition
- Properties (even, real for real processes, maximum at origin = mean power)
- PSD
- Definition (Fourier transformations explicit in both directions)
- Properties (periodic, non-negative, even & real for real processes)
- Meaning of Power in PSD (m=0 in inverse Fourier transform)
Whitening ~10 minutes:
- Explanation (transform into a new random variable with unit variance (covariance matrix = identity matrix)
- Is new random variable SI? (not necessarily, unless it's Gaussian)
- How to calculate A? (Eigenvalue decomposition)
- Are there other ways? (infinitely many, but only a few are feasible)
Made a few minor mistakes. Written part was lower end of G2 (2-), oral on the upper end of G2 (2+)
Result -> G2