good (MATLAB based) textbook for Statistical Signal Processing ?

Can anybody recommend a good textbook for an electrical engineering master level course in statistical signal processing ? It should preferably be with an engineering approach and adressing most of subjects such as: random signals, correlation functions and PSD, filtering, Wiener filter, Kalman filters, spectral estimation and adaptive filters. Even though MATLAB will be a core part of the course the textbook does not have to integrate MATLAB coding extensively.

Answer 1

[Matt Cohen]

Hi Claus,

I would start by looking at the syllabi from various university courses on Statistical Signal Processing and see if you can find a common trend among courses from well-respected universities. There should be a relatively small number of commonly used textbooks.

From a quick search, some of the books I came across were "Statistical Digital Signal Processing and Modelling" by Monson Hayes; "Detection, Estimation, and Modulation Theory" by Harry L. Van Trees; and "Fundamentals of Statistical Signal Processing" by Steven Kay (a three-volume series). These all seem to be popular textbooks in the field; some of these also seem to be directly connected with MATLAB code. For instance, there is a MathWorks File Exchange submission with some code implementations to go along with the Monson Hayes textbook.

I hope this information proves to be helpful.

Matt

[Claus Vaarning]

Dear Matt Thanks a lot for your answer - I know one of the books and will try to look into the two others. If anybody has other proposals - please don't hesitate .. Thanks from Claus