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Assignment 1
submitted by:
ASHISH RANJAN KARN
12EE35010
Q.1 The data x[n] = Arn + 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 efficient estimator exists
and find variance.What happens to the variance as N for various value of r .
ANS:
1
2
P (x; A) =
e 2
NP
1
(x(n)Ar n )2
n=0
(1)
(2 2 ) 2
N 1
ln P (x; A)
2 X
=
(x(n) Arn )(rn )
A
2 2 n=0
N 1
1 X
(x(n) Arn )(rn )
2 n=0
N 1
1 X 2n
2 ln P (x; A)
=
(r )
A2
2 n=0
E[
(5)
2
NP
1
(3)
(4)
N 1
2 ln P (x; A)
1 X 2n
]
=
(r )
A2
2 n=0
>
V ar(A)
(2)
(6)
(r2n )
n=0
1
= 2
N
1
X
NP
1
2n
(r )[
n=0
(7)
x(n)(rn
n=0
NP
1
A]
(8)
(r2n )
n=0
= I(A)(A A)
(9)
(10)
1
I(A)
is a variance.
Q.2 If x[n] = rn + w(n) n = 0, 1, ...N 1 are observed, where w[n] is WGN with variance 2 and r
is to be estimated.Find the CRLB.Does an efficient estimator exists and if so find its variance.
ANS:
1
P (x; r) =
1
2 2
NP
1
(x(n)r n )2
n=0
(11)
(2 2 ) 2
N 1
ln P (x; r)
1 X
= 2
(x(n) rn )(nrn1 )
r
n=0
(12)
E[
N 1
1 X 2 2n2
2 ln P (x; r)
]
=
(n r
)
r2
2 n=0
V ar(
r) >
(13)
(14)
(15)
NP
1
(n2 r2n2 )
n=0
Q.3 If x[n] = A + w(n) n = 0, 1, ...N 1 are observed, where w[n] = [w[0]w[1]..w[N 1]]T .Find
the CRLB.Does an efficient estimator exists and if so find its variance.
ANS:
P (x; A) =
1
N
2
(2) det(C)
1
2
1
1
(xA1)
2 (xA1)C
W here1 = [1111]T
(16)
(17)
1 T 1
ln P (x; A)
=
[x C x 21T C 1 xA + 1T C 1 1A2 ]
A
2 A
= 1T C 1 x 1T C 1 1A
= 1T C 1 1[
1
I(A)
1 C x
A]
1T C 1 1
is a variance.
(19)
= I(A)(A A)
Where, A is efficient estimator &
(18)
(20)
(21)
C = 2
The parameter is the correlation coefficient between w[0] & w[0] .Compute the CRLB for
A and compute it to the case when w[n] is WGN or = 0 .
ANS:
(A) T 1 (A)
) C
A
A
T
(A) = [AA]
I(A) = (
(A)
=1
A
1
>
V ar(A)
1T C 1 1
1
1
C 1 = 2
1
2
2
> (1 )
V ar(A)
2 2
2
(1 + )
=
2
(22)
(23)
(24)
(25)
(26)
(27)
(28)
(29)
>
If = 0 ,V ar(A)
2
> 2
If = 0 ,V ar(A)
Q.5 We wish to estimate the amplitudes of exponentials in noise.The observed data are
x[n] =
p
X
(30)
i=1
Where w[n] is WGN with variance 2 .Find the MVU estimator of the amplitudes and also
their covariance.Evalute your results for the case when p = 2, r1 = 1, r2 = 1 and N is even.
ANS: This fits a linear model form.
X = H + W
1
1
1
r1
r
r
2
3
H= .
..
..
..
.
.
1
2
3
rN
r
r
1
N 1
N 1
A
A2
=
.
..
Ap
= (H T H)1 H T X
(31)
...
...
..
.
1
rp
..
.
...
p
rN
1
(32)
(33)
(34)
C = 2 (H T H)1
(35)
1
1
H = .
..
1
1
..
.
1 1
N 0
H=
0 N
(36)
= NI
Sincecolumnsareorthogonal.
(37)
(38)
NP
1
N n=0 X[n]
1
= H T X =
1
1 NP
N
n
1 X[n]
N
(39)
n=0
2
C =
I
N
(40)
1
H = 1
1
1
1
1+
ANS:
1
1
1
1
1
1
1
HT H =
1 1 1+
1 1+
3
3+
=
2
3 + 2 + (1 + )
2
2 + (1 + ) (3 + )
(3 + )
3
(H T H)1 =
2
3[2 + (1 + ) ] (3 + )2
2
3 + 2 + () (3 + )
(3 + )
3
=
2
2()
T
1 T
= (H H) H X
2
3 + 2 + () (3 + )
(3 + )
3
6
=
6 + 2
2()2
2
=
0
(41)
(42)
(43)
(44)
(45)
(46)
(47)
(48)
Since
(49)
2
C = diag(0 , 1 , ....N 1 , )
1
1
1
C 1 = diag( 2 , 2 , ....
,)
0 1
N 1 2
1 1
1
D = diag( , , ....
,)
0 1
N 1
A =
N
1
X
dn X[n]
(50)
(51)
(52)
(53)
n=0
(54)
Where
dn =
=
[D1]n
1 DT D1
(55)
1
n
NP
1
(56)
m=0
m 2