Probability and Statistics for Information Theory
A course that connects probability, estimation, and stochastic modeling to information and coding theory.
Synopsis
This course begins by establishing probability foundations, random variables, and dependence, then moves to inequalities, limit theorems. These tools are presented with an eye toward information theory, entropy as an expectation, mutual information as dependence, KL divergence via Jensen’s inequality, and decoding as a hypothesis test. The second part introduces information measures, the source and channel coding theorems, and the connection between statistical inference and reliable communication.
Prerequisites
Basic probability, calculus, and familiarity with random variables.
Format
Lectures focus on theory and fundamental principles.
Assessment
- Problem sets and proof-based exercises.
- Coding sessions for the Information Theory part.
Topics covered
- Probability axioms, sample spaces, and Bayes’ theorem
- Random variables, PMF/PDF/CDF, and common distributions
- Expectation, variance, and higher moments
- Joint distributions, independence, conditional independence, and correlation
- Conditional expectation and the law of iterated expectation
- Markov, Chebyshev, and Jensen inequalities
- Entropy, mutual information, KL divergence, and differential entropy
- Source coding theorem, asymptotic equipartition property, and channel capacity
References
- David J. C. MacKay, Information Theory, Inference, and Learning Algorithms, Cambridge University Press, 2003.
- Morris H. DeGroot and Mark J. Schervish, Probability and Statistics, 4th edition, Pearson, 2012.
Link: Link to the course (Moodle key available upon request)