Stochastic Signals Training Course (29 hours), 4-19 July 2013


The intention of this course is to provide an advanced course in stochastic signals on master and PhD student level that covers all basic tools required to understand modern random signal processing techniques. The course is supported by a multitude of practical examples where such techniques are being applied. Through this course students learn modern techniques like linear filtering, linear prediction, adaptive filters, and many more. The students can deepen their knowledge further by selected Matlab examples.

Computer and Telecommunications Engineering students and professional degrees


•    7 master classes sessions with a duration of three hour each one.
•    2 working sessions with a duration of two hour each one
•    1 final exam


1.    Part I: Introduction to statistical signal processing
•    Random variables and densities
•    Expectation
•    Inequalities
•    Joint Statistics
•    Nonlinear Transformation of random variables
•    Order statistics
2.    Part II: Random Processeses
•    Auto- and Crosscorrelation
•    Spectral Density
•    Eigenwertanalysis
•    Ergodicity
•    Spherically invariant random processes
•    Wishart Distributions
3.    Part III: Linear optimal filters

•    LMSE and MMSE estimation orthogonality principle
•    Properties of estimators: BLUE
•    Wiener Filter and Wiener Hopf equations.
•    AR, MA, ARMA Processes
•    Parametric Estimation
4.    Part IV: Linear prediction
•    Forward-backward prediction
•    Wold‘s Decomposition
•    Levinson-Durbin-Trench
•    Lattice Filter
•    Cholesky Factorisation
5.    Part V: Adaptive filters
•    Method of steepest descent
•    Least Mean Square method
•    Variants and applications

  • channel equalizer
  • acoustic echo compensator
  •  electrical echo compensator


Markus Rupp
Ph.D. in Electrical Engineering from Technische Universitaet Darmstadt, Germany; presently a Professor for Digital Signal Processing in Mobile Communications at the Technical University of Vienna.
Markus Rupp received his Dipl.-Ing. degree in 1988 at the University of Saarbruecken, Germany and his Dr.-Ing. degree in 1993 at the Technische Universitaet Darmstadt, Germany, where he worked with Eberhardt Haensler on designing new algorithms for acoustical and electrical echo compensation. From November 1993 until July 1995, he had a postdoctoral position at the University of Santa Barbara, California with Sanjit Mitra where he worked with Ali H.Sayed on a robustness description of adaptive filters with impact on neural networks and active noise control. From October 1995 until August 2001 he was a member of Technical Staff in the Wireless Technology Research Department of Bell-Labs at Crawford Hill, NJ, where he worked on various topics related to adaptive equalization and rapid implementation for IS-136, 802.11 and UMTS, including the first MIMO prototype for UMTS. Since October 2001 he is a full professor for Digital Signal Processing in Mobile Communications at the Vienna University of Technology where he founded the Christian-Doppler Laboratory for Design Methodology of Signal Processing Algorithms in 2002 at the Institute for Communications and RF Engineering. He served as Dean from 2005-2007. He was associate editor of IEEE Transactions on Signal Processing from 2002-2005, is currently associate editor of JASP EURASIP Journal of Advances in Signal Processing and JES-EURASIP Journal on Embedded Systems. He is elected AdCom member of EURASIP since 2004 and served as president of EURASIP from 2009-2010. He authored and co-authored more than 400 scientific papers and patents on adaptive filtering, wireless communications, and rapid prototyping, as well as automatic design methods.


4-19 July 2013


•    Thursday 4/7 10:00 – 13:00: lecture
•    Friday 5/7 10:00 – 13:00: lecture
•    Monday 8/7 10:00 – 13:00: lecture
•    Monday 8/7 15:00 – 18:00: lecture
•    Thursday 11/7 10:00 – 13:00: lecture
•    Thursday 11/7 15:00 – 17:00: exercise
•    Friday 12/7 10:00 – 13:00: lecture
•    Friday 12/7 15:00 – 17:00: exercise
•    Monday 15/7 10:00 – 13:00: lecture
•    Tuesday 16/7 10:00 – 12:00: exercise
•    Thursday 18/7 10:00 – 12:00: exercise
•    Friday 19/7 10:00 – open end: final exam


CITIC Building. Campus Elviña,15071 A Coruña


E-mail before July 1st with name, contact phone, charge of participants, company or institution they are representing and e-mail.


Ayudas del programa de consolidación y estructuración de unidades de investigación competitivas: Agrupación Estratégica CITIC.