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30 views

Exercises

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zhangxiaokun548
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Exercises for Statistical Signal Processing

Problem 1:
1) The data x[n] = Arn +w[n] for n = 0, 1, · · · , N −1 are observed, where w[n] is WGN with
variance σ 2 and r > 0 is known. Find the CRLB for A. Show that an efficient estimator
exists and find its variance. What happens to the variance as N → ∞ for various values
of r?
2) If x[n] = rn + w[n] for n = 0, 1, · · · , N − 1 are observed, where w[n] is WGN with
variance σ 2 and r is to be estimated, find the CRLB. Does an efficient estimator exist and
if so find its variance?

Problem 2: Assume that x[n] = As[n] + w[n] for n = 0, 1, · · · , N − 1 are observed, where
w[n] is zero mean noise with covariance matrix C and s[n] is a known signal. The amplitude A
is to be estimated using a best linear unbiased estimator (BLUE). Find the BLUE and discuss
what happens if s = [s[0], s[1], · · · , s[N − 1]]T is an eigenvector of C. Also, find the minimum
variance.

Problem 3:
1) We observe N IID samples from the PDFs:
a. Gaussian  
1 1 2
p(x; µ) = √ exp − (x − µ)
2π 2
b. Exponential 
 λ exp(−λx) x > 0
p(x; λ) =
 0 x<0
In each case find the MLE of the unknown parameter and be sure to verify that it indeed
maximizes the likelihood function. Do the estimators make sense?
2) Consider N IID observations from the exponential family of PDFs

p(x; θ) = exp[A(θ)B(x) + C(x) + D(θ)]


2

where A, B, C and D are functions of their respective arguments. Find an equation to be


solved for the MLE. Now apply your results to the PDFs in subproblem 1).

Problem 4: The data x[n] for n = 0, 1, · · · , N − 1 are observed, each sample having the
conditional PDF 
exp[−(x[n] − θ)] x[n] > θ

p(x[n] | θ) =
0

x[n] < θ
and conditioned on θ the observations are independent. The prior PDF is

exp(−θ) θ > 0

p(θ) =
0

θ<0
Find the Bayesian MMSE estimator of θ. Note that two random variables x and y are said to
be conditionally independent of each other if the joint conditional PDF factors as p(x, y|z) =
p(x|z)p(y|z), where z is the conditioning random variable.

Problem 5: Consider the detection of a signal s[n] embedded in WGN with variance σ 2 based
on the observed samples x[n] for n = 0, 1, · · · , 2N − 1. The signal is given by

A n = 0, 1, . . . , N − 1

s[n] =
0 n = N, N + 1, . . . , 2N − 1

under H0 and by 
A n = 0, 1, . . . , N − 1

s[n] =
2A n = N, N + 1, . . . , 2N − 1

under H1 . Assume that A > 0 and find the NP detector as well as its detection performance.
Explain the operation of the detector.

Problem 6: Design a minimum Pe detector to decide among the hypotheses whose PDFs are
1
p(x[0]|H0 ) = exp (−|x[0] + 1|)
2
1
p(x[0]|H1 ) = exp (−|x[0]|)
2
1
p(x[0]|H2 ) = exp (−|x[0] − 1|)
2
assuming equal prior probabilities. Also, find the minimum Pe .

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