Final Exam

Estimation and Detection (Fall 2015)

* There are 6 problems in 3 pages.
* Total points: 105
1. (20 points) Let the signal model be DC level in WGN with modified prior knowledge of
A given by

p(A) =

1
2A0

, |A| A0

, |A| > A0

Assume there are N observations. Answer the following questions:

(a) (5 points) Write down the posterior PDF.
Sol: See ch10 p.16

p(A) =

1
1 N 1
2
n=0 (x[n]A)
N exp 2 2
2A0 (2 2 ) 2
A0
1
1 N 1
2
n=0 (x[n]A)
N exp 2 2
A0
2A0 (2 2 ) 2

(b) (10 points) Let

]dA

, |A| A0
, |A| > A0

p(A|x) =

[
1
c

exp 22 (A x)
1

2 N

, |A| A0

, |A| > A0

Obtain c.
Sol:

A0

c=
A0

[
]
1
1
)2 dA
2 exp 2 (A x
(2 N )
2N

(c) (5 points) Let the estimator be

A0 , x A0

A =
x
, A0 x A0 .

A0
, x > A0
Is it a MAP estimator? Explain your answer.
Sol: Yes. Please see Slides ch11 page 23.

2. (15 points) Let

x[n] = A + [n],

n = 0, 1, . . . , N 1.

A has the prior PDF given by

exp(A) , A > 0
p(A) =
,
0
, A<0
> 0, and [n] N (0, 2 I) and is independent of A. Find the MAP estimator of A.
Sol:
g(A) = p(x|A)p(A)

N 1
1
1
2
A

, A>0
N exp{ 2 2
n=0 (x[n] A) }e
(2 2 ) 2
=
,
0
, A<0
N 1
g(A)
1
= 2
(x[n] A) = 0
A
n=0

2
V A = x
N
If A < 0, we let A = 0
2
A = max(0, x ).
N

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3. (20 points) Let the signal model be

n = 0, 1, . . . , N 1,

x[n] = A + [n],

where A N (A , A2 ), [n] N (0, 2 ). Give the Woodburry Identity: (A + uuT )1 =

A1

A1 uuT A1
1+uT A1 u

(a) (5 points) What is the PDF of p(A|x)?

Sol: See ch10 p.37

P (A|x) N (A|x , var{A|x),

where
A|x = A +

A2
x A )
2 (
A2 + N

var{A|x} =

2 2

N A
2
2
A + N

(b) (10 points) The MMSE estimator has the following form: A = A + (
x A ).
Obtain .
Sol:
=

A2
2
A2 + N

var{A|x}, is
(c) (5 points) Show that the variance of A,

2 2

N A
2 + 2
A
N

Sol: See ch10 p.39

var(A|x) = A2 A2 1T (1A2 1T + 2 I)1 1A2

= A2

A2 T
11T
2
1
(I

2 )1A
2

N + 2
A

4
N2
= A2 A2 (N
2 )

N + 2
A

2 2

N A
2
A2 + N

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(d) (5 points) Find Bmse(A).
Sol: See ch10 p.26

=
Bmse(A)

var(A|x)p(x)dx
x

= var(A|x)

4. (15 points) Let the signal model be

x[n] = s[n] + [n],

n = 0, 1, . . . , N 1,

where s[n] and [n] are uncorrelated zero mean W.S.S. random process. The autocorrelation functions are rss [k] = s2 [k], rww [k] = 2 [k].
(a) (7 points) Determine the LMMSE estimator of

s[0]

s[1]
s=
..

s[N 1]

Sol:
Cxx = E(xxT ) = (s2 + 2 )I
Csx = E(sxT ) = E(ssT ) = s2 I

s = Csx Cxx 1 x =

s2
x
s2 + 2

(b) (8 points) Determine the corresponding minimum MSE matrix.

Sol:
Ms = Css Csx Cxx 1 Cxs
=

s2 2
I
s2 + 2

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5. (15 points) Given the signal model:

x[n] = Arn + [n],

n = 0, 1, . . . , N 1,

where r is a known constant, [n] is zero mean white noise with variance 2 . Let E {A} =
A and var {A} = A2 . A is independent of [n].
(a) (8 points) Obtain the LM M SE estimator for A.
Sol:
x = hA + , where h = [1, r, r2 , . . . , rN1 ]T
(
)1 1 1
= E(A) + C 1 + hT C1
A
h C (x hE(A))
h
= A +

2
2
A

1
N 1
n=0

N
1

r2n

rn [x[n] rn A ]

n=0

(b) (7 points) Followed (a), Obtain the minimum Bayesian M SE.

Sol:
1
= (C 1 + hT C1
Bmse (A)
h)

=
1
2
A

N 1
n=0
2

r2n

6. (20 points) Given the following two hypotheses

H0 : x[n] N (0, 02 )
H1 : x[n] N (0, 12 )
where x[n] are N i.i.d observations.
(a) (10 points) Derive the NP detector. Note that your answer shall have the following
1 2

form N1 N
n=0 x [n] > . Obtain
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Sol: The NP test is to decide H1 if

1
N
(212 ) 2

1
N
(202 ) 2

exp( 21 2
1

exp( 21 2

N 1
n=0

x2 [n])

n=0

x2 [n])

N 1

> .

Taking logarithms of both sides we have

N 1
1 1
1 2
N 2
( 2 2)
x [n] > ln + ln 12 .
2 1
0 n=0
2
0

Since 12 > 02 , we have

N 1
1 2
x [n] >
N n=0

where
=

2
N

ln + ln 12
0

1
02

1
12

2
0
2
1

x2 [0]+x2 [1]
i2

(b) (10 points) Let N=2. Show that PD = (PF A ) . (Hint:

21 t

distribution with degree of freedom two, and its PDF is 21 e

Sol: Decide H1 if

x2 [0]+x2 [1]
2

> or x2 [0] + x2 [1] > 2

Page 6

.)

has chi-square

where H0 2 = 02 so that
x2 [0] + x2 [1]
2
>
; H0 }
02
02
2
= Pr {x22 > 2 }
0

1 1t
e 2 dt
=

2 2
2

PF A = Pr {

=e

2
0

x2 [0] + x2 [1]
2
>
; H1 }
12
12
2
= Pr {x22 > 2 }
1

PD = Pr {

=e

2
1

V
2
0
2
1

02 ln PF A = 12 ln PD or PD = PF A

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