ECE 531 - Detection and Estimation Theory

Homework 2
Solutions
3.3 (Luke Vercimak) The data x[n] = Ar
n
+ w[n] for n = 0, 1, . . . , N 1 are observed, where
w[n] is WGN with variance
2
and r > 0 is known. Find the CRLB for A. Show that an
ecient estimator exists and nd its variance. What happens to the variance as N for
various values of r
The pdf is:
p(x, A) =
1
(2
2
)
N
2
exp
_
1
2
2
N1

n=0
[x[n] Ar
n
]
2
_
lnp(x, A)
A
=
1
2
2
N1

n=0
2 [x[n] Ar
n
] (1)r
n
lnp(x, A)
A
=
1

2
N1

n=0
_
x[n]r
n
+ Ar
2n

2
lnp(x, A)
A
2
=
1

2
N1

n=0
r
2n
I(A) = E
_
1

2
N1

n=0
r
2n
_
I(A) =
1

2
N1

n=0
r
2n
I(A) =
1

2
r
2N
1
r
2
1
CRLB(A) =

2
N
if r=1,

2
(r
2
1)
r
2N
1
otherwise
If r 1,

A A. If r < 1,

A .
3.11 (Luke Vercimak) For a 2 2 Fisher information matrix
I () =
_
a b
b c
_
which is positive denite, show that
_
I
1
()

11
=
c
ac b
2

1
a
=
1
[I ()]
11
1
What does this say about estimating a parameter when a second parameter is either known
or unknown? When does equality hold and why?
I () =
_
a b
b c
_
is positive denite
All principal minors are positive
det[a] = a > 0, det
_
a b
b c
_
= ac b
2
> 0
ac ac b
2

c
ac b
2

1
a
This shows that the variance of a parameter estimate when estimating two parameters will
be less than or equal to estimating only the single parameter. The equality holds when b = 0.
This implies that the rst and second parameters are uncorrelated.
3.15 (Shu Wang) We know that x[n] N(0, C), and x[n]s are independent. If we suppose i()
is the sher information of x[n]. Then we can have I() = Ni(). According to equation 3.32
of textbook, we can get:
i() = [
()

]
T
C
1
()[
()

] +
1
2
tr[(C
1
()
C()

)
2
]
=
1
2
tr[(C
1
()
C()

)
2
]
According to x[n] N(0, C). Also because
C =
_
1
1
_
Then we can have
C()

=
_
0 1
1 0
_
Also we can get
C
1
() =
1
1
2
_
1
1
_
Then we can have
(C
1
()
C()

)
2
=
1
(1
2
)
2
_
1 +
2
2
2 1 +
2
_
So
1
2
tr[(C
1
()
C()

)
2
] =
1+
2
(1
2
)
2
. Then I() =
N(1+
2
)
(1
2
)
and CRLB =
1
I()
=
(1
2
)
2
N(1+
2
)
2