VE564

Homework 1

Haorui LI (022370910035)

2023.6.3

Problem 1
 
1
2 ρ
We consider the correlation matrix C = 

 parameterized by ρ.

ρ 1
Since x ∼ N (0, C), we can use the CRLB for General Gaussian situation:

∂µ(ρ) T −1 ∂µ(ρ) 1 ∂C(ρ) 2

I(ρ) = [ ] C (ρ)[ ] + tr[(C−1 (ρ) )) ] (1)
∂ρ ∂ρ 2 ∂ρ
   
0 1  2 −2ρ
∂µ(θ) ∂0(θ) ∂C(ρ)  and C−1 (ρ) = 1
Because ∂ρ = ∂ρ = 0, ∂ρ =
  1−2ρ2


 ,we get that:

1 0 −2ρ 1
  
1 1  2 −2ρ 0 1 2
I(ρ) = tr[(   )2 ] = 2 + 4ρ (2)
2 1 − 2ρ2    (1 − 2ρ2 )2
−2ρ 1 1 0

(1−2ρ2 )2
As a result, CRLB for the correlation coefficient var(ρ̂) ≥ 2+4ρ2
.

Problem 2
1.
1 1 PN −1 2
We know the PDF of data is p(x; A) = N exp[− 2σ 2 n=0 (x[n]−(A+1)sin(2πf0 n)) ] and the exponential
2
(2πσ ) 2
P −1 P −1 2 P −1
term can be rewriten as N n=0 (x[n] − (A + 1)sin(2πf0 n))2 = N n=0 x [n] − 2(A + 1) N
n=0 x[n]sin(2πf0 n) +
2
PN −1 2
(A + 1) n=0 sin (2πf0 n), so we can use Neyman-fisher factorization:

N −1 N −1 N −1
1 1 2
X
2
X 1 X
p(x; A) = N exp[− 2
((A + 1) sin (2πf0 n) − 2(A + 1) x[n]sin(2πf 0 n))]exp[− 2
(x[n])2 ]
2
(2πσ ) 2 2σ 2σ
n=0 n=0 n=0
(3)
PN −1 2
R ∞
As result, T (x) = n=0 x[n]sin(2πf0 n). Because w[n] ∼ N (0, σ ), it’s easy to prove −∞ v(T )p(T ; A)dT = 0
holds if and only if v(T ) = 0 and consequently T (x) is complete. PN −1
n=0 x[n]sin(2πf0 n)
PN −1
Since E(T (x)) = (A + 1) n=0 sin(2πf0 n), the MVU of A is  = PN −1 T (x) −1 = P N −1 −1
n=0 sin(2πf0 n) n=0 sin(2πf0 n)
2.

1
Homework 1 VE564

PN−1
Let θ = [A, σ 2 ]T , and we know the log likelihood PDF is ln p(x; θ) = − N2 ln2π − N
2 lnσ
2 − 1
2σ 2 n=0 (x[n] −
(A + 1)sin(2πf0 n))2 , we can get the derivative:
N −1
∂ lnp(x; θ) 1 X
= 2 sin(2πf0 n)(x[n] − (A + 1)sin(2πf0 n)) (4)
∂A σ
n=0

N −1
∂ lnp(x; θ) N 1 X
= − + (x[n] − (A + 1)sin(2πf0 n))2 (5)
∂σ 2 2σ 2 2σ 4
n=0

N −1
∂ lnp(x; θ) 1 X
= − sin2 (2πf0 n) (6)
∂A2 σ2
n=0

N −1
∂ lnp(x; θ) 1 X
=− 4 sin(2πf0 n)(x[n] − (A + 1)sin(2πf0 n)) (7)
∂A∂σ 2 σ
n=0

N −1
∂ lnp(x; θ) N 1 X
= − (x[n] − (A + 1)sin(2πf0 n))2 (8)
∂σ 2 2 2σ 4 σ 6
n=0

As a result, we can get the Fisher infromation matrix:

 
1 P N −1 2
 σ2 n=0 sin (2πf0 n) 0 
I(θ) = 
 
 (9)
N
0 − 2σ4

And because regular condition E[ ∂lnp(x;θ)

∂θ ] = 0 is satisfied, we can use the equation ∂lnp(x;θ)
∂θ = I(θ)(θ̂ − θ).
Finally we get the result: PN −1
n=0 x[n]sin(2πf0 n)
 = P N −1
−1 (10)
2
n=0 sin (2πf0 n)
N −1
1 X
σˆ2 = (x[n] − (A + 1)sin(2πf0 n))2 (11)
N
n=0

Page 2