ECE 531: Detection and Estimation Theory, Spring 2011

Homework 11 Solutions
Problem1. (5.14 Shu Wang)
From Eq 5.5 and 5.6, we have:
T (x) = xT Cs (Cs + 2 I)1 x
s = Ah
2
Cs = E[ssT ] = E[AhAhT ] = E[AA]hhT = A
hhT
2
2
T (x) = xT A
hhT (A
hhT + 2 I)1 x

By using matrix inversion lemma, we have:

(A + BCD)1 = A1 A1 B(DA1 B + C 1 )1 DA1

2 h, C = I and D = hT . Then we will get:

Here we set A = 2 I, B = A

( I +

2
A
hhT )1

A T
1
1
2 h h
= 2I 2(
)

1 + hT h A2

T (x) = x

=
=
T 0 (x) =

1
2
A
hhT ( 2 I

A T
1
2 h h
))x
2(
1 + hT h A2

2
2

A T
2
2
2 h h
xT hhT ( A2 A2 (
))x

1 + hT h A2
2

)>
(hT x)T (hT x)( 2 T A
A h h + 2

(hT x)2 > 0 =

2
A
2
T
A h h+ 2

(
N (0, 2 I)
x
N (0, Cs + 2 I)

under H0
under H1

(
N (0, 2 hT h)
hT x
2 (hT h)2 + 2 hT h)
N (0, A
1

under H0
under H1

According to chapter2, under H0 , we can easily get:

(hT x)2
X12
2 hT h
PF A = P r{T 0 (x) > 0 ; H0 }
= P r{

0
T 0 (x)
>
; H0 }
2 hT h
2 hT h

0
Also from Chapter2, we know that QX12 (x) = 2Q( x). Then we have PF A = 2Q( 2hT h ).
Similar to H0 , we can have:
(hT x)2
2
2 (hT h)2 + 2 hT h X1
A
PD = P r{T 0 (x) > 0 ; H1 }
T 0 (x)
0
= P r{ 2 T 2
>
2 (hT h)2 + 2 hT h ; H1 }
A (h h) + 2 hT h
A
s
0
PD = 2Q(
2 (hT h)2 + 2 hT h )
A

Problem 5.16 for Avinash (book)

Problem2. (5.17 Yao Feng)

Deflection coefficient is defined as

(E(T ; H1 ) E(T ; H0 ))2
V ar(T ; H0 )

d2 =

E(T ; H1 ) =

N
1
X

E (Acos(2f0 n + ) + w[n])Acos2f0 n)

n=0

= cos

N
1
X

A cos 2f0 n sin

n=0

N
1
X

A2 cos2f0 nsin2f0 n

n=0

N A2
=
cos
2
E(T ; H0 ) =

N
1
X

E(w[n]Acos2f0 n) = 0

n=0
N
1
X

V ar(T ; H0 ) = V ar(

w[n]Acos2f0 n)

n=0

N
1
X

V ar(w[n]Acos2f0 n)

n=0
N
1
X
2

A2 cos2 2f0 n

n=0

N A2 2

=
2
So,
2

d =

( N2A cos)2
N A2
2

N A2
cos2
2 2

We can see that if = 0, which means our assumption is right, then we get the maximum d2 , hence
the maximum PD ; if = , which mean our truley sent signal is Asin2f0 n, then we get the
minimum PD

Problem3. (6.2 Shu Wang)

L(x) =

P (x[0], x[1] : H1 )
P (x[0], x[1] : H0 )

2 e(x[0]+x[1])
>
20 e0 (x[0]+x[1])
2
e(0 )(x[0]+x[1]) > 20

2
( 0 )(x[0] + x[1]) > ln( 20 )

If > 0 , we decide H1 .
=

ln( 20 )
= 0
T (x) = x[0] + x[1] <
0
PF A = P r{T (x) < 0 ; H0 }

The region of T (x) < 0 is shown in the following figure:

0 x[0]

PF A =
0

=
0

Z
=

20 e0 (x[0]+x[1]) dx[1]dx[0]

0
0 x[0]

0 e0 (x[0]+x[1]) |0

dx[0]

0 e0 x[0] 0 e0 dx[0]

0
0

= 1 e0 0 0 e0

For given PF A , the threshold is not depend on unknown parameter . So the UMP test exists.