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Random signals and noise spring 2016 final exam

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ELEN E4815

Columbia University

10 May 2016

Professor I. Kalet

Final Examination

Length of Examination- Three Hours

Answer All Questions

Open Book and Open Notes

have to “re-derive” results, already derived in class!!

2

Problem #1(34%)

The power spectral density, Px(f), of a narrow-band gaussian WSS

random process, x(t), is shown below.

50W ≤ f0 ≤ 80W Hz.

Px(f)

A

f

-70W -60W 0 60W 70 W

function of A and W?

b. Draw the spectral densities PxR(f)and PxQ(f), the spectral

densities respectively of xR(t) and xQ(t), for the following

three values of f0. The values of f0 are 50W, 65W and 80W

Hz.

c. What are the average powers of xR(t) and xQ(t), in each

case?

3

below. The oscillator frequency, f1, at the receiver may take

on any value between 60W and 80W Hz.

We want to maximize the power of the signal, vout(t), at the

output of the receiver. Which value of f1 should be used at

the receiver to achieve this result? For this value of f1, what

is the maximum power (E{v2(t)} ) at the output?

the output power to zero? Explain your answer. If your

answer is positive, which frequency can reduce the output

power to zero?

60W ≤ f1 ≤ 80W Hz

2 cos 2f1t

HLPF(f)

1

-5W 0 5W f

4

Problem # 2 (33%)

We have a WSS random signal, s(t), with the power spectral density,

Ps(f), given below.

10 f2 ; 0 < f < W/2

Ps(f)=

0 ; f > W/2

We are interested in estimating the signal, s(t), from the sum of s(t)

and an independent interfering signal, n(t) which has the power

spectral density, Pn(f), defined below.

Ps(f)=

0 ; otherwise

the mean-square error, E{(y(t)-s(t))2}. You must draw the filter

characteristic.

b. Find the minimum square error, E{(y(t)-s(t))2} for this filter.

c. What would be the mean-square error, if H(f) was a simple ideal

low pass filter with H(f) equal to one in the frequency range,

–W < f < W (the mean-square error would just be the average noise

power at the output)?

d. Is the mean-square error bigger in part (b) or part (c)? Explain

the result.

n(t)

5

Problem #3

random variable, x, with the exponential probability

density function, f(x), defined below.

Based on this output we would like to estimate the

unknown parameter, a.

maximum likelihood estimator (MLE).

and the variance of the random variable, x, for the

exponential probability density function in this

problem, are given below.

E{x}=a

E{x2}=2a2

Var{x}= E{[x-E{x}]2}= a2

6

density function, f (x/a), of the random variable, x,

given the unknown parameter, a.

b.Write the equation for Ln f (x/a).

c. Write the equation for d/da {Ln f (x/a)}.

d.Find the maximum likelihood estimate, a(x), for the

parameter, “a”.

e. Is the MLE estimate unbiased? Explain your

answer.

f. If the MLE is unbiased, does it satisfy the Cramer-

Rao bound? Explain your answer.

g. If it does satisfy the Cramer-Rao bound, what is the

Cramer-Rao bound?

----------------------------------------------------------------------

h.Suppose we now perform N independent trials, i.e.,

we look at “N” independent outputs of the random

variable, x, in order to get a better estimate of the

parameter “a”.

on the N measurements we have performed, again using

a maximum likelihood estimator (MLE).

7

density function, f (x/a), of the vector, x, given the

unknown parameter, a.

parameter, “a”.

answer.

Cramer-Rao bound for an unbiased estimate?

Explain your answer. (YOU DO NOT HAVE TO

FIND THE CRAMER-RAO BOUND IN THIS

PART!)

THE END!!!

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