KEMBAR78
Detection and Estimation Theory (CT505) : Assignment 8 May 22, 2020 | PDF | Estimator | Econometrics
Scribd
Upload
59 views2 pages

Detection and Estimation Theory (CT505) : Assignment 8 May 22, 2020

This document contains 6 questions related to detection and estimation theory. Question 1 asks to find the MMSE and MAP estimators of μ for a Gaussian distribution and discusses the estimators as the prior variance goes to 0 and infinity. Question 2 asks to find the MMSE and MAP estimators for a specified posterior distribution. Question 3 asks to find the MAP estimator of A for a given data model. Question 4 specifies a data model and asks about the distributions of parameters A and φ. Question 5 shows the vector MAP estimator minimizes Bayes Risk for a 0-1 loss function. Question 6 asks to prove that the distribution of xTC−1x is chi-squared for a multivariate Gaussian x.

Uploaded by

DIPESH
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
59 views2 pages

Detection and Estimation Theory (CT505) : Assignment 8 May 22, 2020

This document contains 6 questions related to detection and estimation theory. Question 1 asks to find the MMSE and MAP estimators of μ for a Gaussian distribution and discusses the estimators as the prior variance goes to 0 and infinity. Question 2 asks to find the MMSE and MAP estimators for a specified posterior distribution. Question 3 asks to find the MAP estimator of A for a given data model. Question 4 specifies a data model and asks about the distributions of parameters A and φ. Question 5 shows the vector MAP estimator minimizes Bayes Risk for a 0-1 loss function. Question 6 asks to prove that the distribution of xTC−1x is chi-squared for a multivariate Gaussian x.

Uploaded by

DIPESH
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 2

Detection and Estimation Theory (CT505)

Assignment 8
May 22, 2020

1. The data x[n], n = 0, 1, . . . , N − 1 are observed having the PDF


 
1 1 2
p(x[n]|µ) = √ exp − 2 (x[n] − µ) .
2πσ 2 2σ
The x[n]’s are independent when conditioned on µ. The mean µ has the prior PDF
µ ∼ N (µ0 , σ02 ).
Find the MMSE and MAP estimators of µ. What happens as σ02 −→ 0 and σ02 −→ ∞?
2. For the posterior PDF (
exp [−(θ − x)] , θ > x
p (θ|x) =
0, θ < x,
find the MMSE and MAP estimators.
3. The data x[n] = A + w[n] for n = 0, 1, . . . , N − 1 are observed. The unknown parameter A is
assumed to have the prior PDF
(
λ exp (−λA) A > 0
p(A) =
0 A<0

where λ > 0, and w[n] is WGN with variance σ 2 and is independent of A. Find the MAP
estimator of A.
4. Consider the data model
x[n] = A cos(2πf0 n + φ) + w[n]
where √
A= a2 + b 2
 
−b
φ = arctan .
a
If θ = [a b]T ∼ N (0, σθ2 I), show that the PDF of A is Rayleigh, the PDF of φ is U[0, 2π], and
that A and φ are independent.
5. Consider the vector MAP estimator or
θ̂ = arg max p(θ|x).
θ

Show that this estimator minimizes the Bayes Risk for the cost function
(
1 |||| > δ
C() =
0 |||| < δ
Pp
where  = θ − θ̂, ||||2 = 2
i=1 i , and δ −→ 0.

1
6. If x is a 2 × 1 random vector with PDF

x ∼ N (0, C),

prove that the PDF of xT C−1 x is that of a X22 random variable.

You might also like