1

Advanced signal processing

Dr. Mohamad KAHLIL
Islamic University of Lebanon
2
Outline
Random variables
Histogram, Mean, Variances, Moments, Correlation,
types, multiple random variables
Random functions
Correlation, stationarity, spectral density estimation
methods
Signal modeling: AR, MA, ARMA,
Detection and classification in signals
Advanced applications on signal processing:
Time frequency and wavelet
3
Chapter 4: detection and
classification in random signals
Detection
Definition
Statistical tests for detection
Likelihood ratio
Example of detection when change in mean
Example of detection when change in variances
Multidimensional detection
4
Detection: definition
H
i i
: O O =
H
j j
: O O =
H
H
i i
j j
:
:


O O
O O
=
=
Hypotheses :
Known or unknown
estimated
5
Gaussian distributions
Normal distributions


( )
2
2
2
1
2
1
) (
o
t o
m x
e x f x

=
2
) ( ) ( o = = X V m T E
) 1 ; 0 ( ) ; ( N
m X
m N X si ~

~
o
o
6
Loi du Chi 2 (Khi-two of Pearson)
) 1 ; 0 ( ,..., , 2 1 N Z Z Z Si k ~
2
) (
1
2
k
k
i
i
Z _ ~

=
chi2 with k degree of freedom
Chi2 distributions
15 dof
10 dof
}

= I
I
=
0
1
2 / 1 2 /
2 /
2
) (
) (
) 2 / ( 2
1
dx e x k
e x
k
x k
x k
k
k
_
E[chi2]=k
Variance of Chi2=2k
7
Fisher Test
Student distribution
) ( ) 1 ; 0 (
2
k t
k
Z
N Z Si
k
~
_
~
Student with k degree of freedom
Fisher-Sndcor Distribution
) ; (
2
2
l k F
l
k
l
k
~
_
_
Fisher with k and l degree of freedom
Example: Detection in signals
F(6,7)
F(6,10)
8
Detection: definition
H
i i
: O O =
H
j j
: O O =
H
H
i i
j j
:
:


O O
O O
=
=
Hypotheses :
Known or unknown
estimated
9
Parameters definition
False alarm
Detect H1, H0 is correct
Detection
Detect H1, H1 is correct
Miss detection
Detect H0, H1 is correct
10
Likelihood ratio
Detection in signals
) 0 / (
) 1 / (
) (
H x P
H x P
x = A
0
) 1 (
) 0 (
) 0 / (
) 1 / (
1
) 1 (
) 0 (
) 0 / (
) 1 / (
) 0 ( ) 0 / ( ) 1 ( ) 1 / (
) / 0 ( ) / 1 ( 1
) 1 (
) ( ) / 1 (
) 1 / (
) 0 (
) ( ) / 0 (
) 0 / (
) (
) ( ) / (
) / (
H x
H p
H p
H x p
H x p
H x
H p
H p
H x p
H x p
H p H x p H p H x p
x H p x H p H x
H P
x P x H P
H x p
H P
x P x H P
H x p
B P
A P A B P
B A P
e <
e >
>
> e
=
=
=
11
Variation in mean
Detection in mean
H0 : z(t) = 0 + b(t) = b(t)
H1 : z(t) = m + b(t)
1 ) (
) (
) (
) (
1
0
1
0
1
0
D
D
D
D
z soit
H P
H P
z
<
>
A
<
>
A
(

=
(

= A
2
2
2
2
2
2
2
) 2 (
exp
2
exp
2
) (
exp
) (
o
o
o
zm m
z
m z
z
2
' 0 . 2 1 ) (
1
0
1
0
2
1
0
m
z o d m m z z
D
D
D
D
D
D <
>
<
>

<
>
A
12
Detection in variance
Detection in variance
1 ) (
1
0
D
D
z
<
>
A
|
.
|

\
|
H
|
.
|

\
|
H
= A
=
=
0
1
1
1
) (
H
Z
P
H
Z
P
z
n
N
n
n
N
n
(

=
|
.
|

\
|
(

=
|
.
|

\
|
2
0
2
0
0
2
1
2
1
1
2
exp
. 2
1
2
exp
. 2
1
o
o t
o
o t
n
n
n
n
z
H
Z
P
z
H
Z
P
|
|
.
|

\
|
|
|
.
|

\
|
= A Z Z z
t
N
.
. 2
exp ) (
0
2
1
2
0
2
1
2
1
0
o o
o o
o
o

o
o
o o
o o
=
|
|
.
|

\
|
<
>

<
>
A
0
1
2
0
2
1
2
1
2
0
1
0
1
0
ln
2
. . 1 ) ( N Z Z z
D
D
t
D
D

1
0
1
2
D
D
N
n
n
z S
<
>
=

=
13
Parameters
False Alarm probability




Detection probability
o

d P P
H fa
) (
0
0
}
+
= =
|

d P P
H d
) (
0
1
}

= =
14
Parameters
15
Neymen pearson method
Fix the probability of false alarm
Estimate the threshold
<> = A
) 0 / (
) 1 / (
) (
H z P
H z P
z
( )
}

A
|
.
|

\
|A
= =

o d
H
z
P H D P
0
0 1
) (
/
16
Detection: multidimensional case
Multidimensional case
17
Distribution de Fisher-Snedecor
o = 0,05
18
DISTRIBUTION DU KHI-
DEUX
19
DISTRIBUTION DU KHI-
DEUX (suite)
20
LOI NORMALE CENTRE
RDUITE