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PRENTICE
HALL SIGNAL PROCESSING SERIES
 Alan
V.
Oppenheim, Series Editor 
ANDREWS
AND
H
UNT
BRIGHAM
The Fast Fourier Tmnsform
BRIGHAM
B
URDIC
C
ASTLEMAN
 Digital Image Processing
COWAN
AND
G
RANT
 Adaptive Filters
CROCHIERE
AND
R
ABINER
D
UDGEON
AND
MERSEREAU
H
AMMING
 Digital Filters,
3/E
HAYKIN,
ED.
HAYKIN,
ED.
 Array Signal Processing
JAYANT
AND
N
OLL
J
OHNSON
A
N
D
D
UDGEON
K
AY
K
AY
Modern
Spectral Estimation
KINO
L
EA
,
ED.
L
IM
L
IM
,
ED.
Speech Enhancement 
L
IM
A
ND
O
P
P
E
 N
H
E
I
 M 
,
EDS
.
M
ARPLE
MCCLELLAN
AND
RADER
MENDEL
OPPENHEIM, ED.
O
PPENHEIM
AN
D
N
AWAB
,
EDS
.
O
PPENHEIM
,
WILLSKY,
W
I
T
H
Y
OUNG
OPPENHEIM 
AND
SCHAFER
 Digital Signal Processing
OPPENHEIM AND
SCHAFER
 Discrete
-
Time Signal Processing
Q
UACKENBUSH
ET
AL
.
Objective Measures
of 
Speech Quality
RABINER
AND
G
OLD
RABINER
AND
SCHAFER
 Digital Processing of Speech
Signals
R
OBINSONAND
T
REITEL
STEARNS AND
D
AVID
STEARNS
AND
H
USH
TRIBOLET
V
AIDYANATHAN
WIDROW
AND STEARNS
 Digital Image RestomtionThe Fast Fourier 
Transform
and Its ApplicationsUnderwater Acoustic System Analysis,
2/E
 Multimte Digital Signal Processing Multidimensional Digital Signal Processing Advances
in
Spectrum Analysis and Array Processing, Vols.
I5
II
 Digital Coding of 
waveforms
 Array Signal Processing: Concepts and Techniques
Fundamentals
of 
Statistical Signal Processing: Estimation Theory Acoustic Waves: Devices, Imaging, and Analog Signal Processing
Trends
in
Speech RecognitionTwo
-
 Dimensional Signal and Image Processing Advanced Topics
in
Signal Processing Digital Spectral Analysis with Applications Lessons
in
 Digital Estimation Theory Number Theory
an
 Digital
Signal
Processing Applications
of 
 Digital
Signal
ProcessingSymbolic and Knowledge
-
 Based Signal ProcessingSignals and SystemsTheory and Applications of Digital Signal ProcessingGeophysical Signal Analysis
Signal
Processing Algorithms Digital Signal Analysis,
2/E
Seismic Applications
of 
 Homomorphic Signal Processing Multimte Systems and Filter Banks Adaptive
Signal
Processing
Fundamentals
o
Statistical Signal Processing:
Est
imat
ion Theory
Steven
M.
Kay
University of Rhode Island
For 
book 
 and 
bookstore 
nformation
I
I
http://wmn.prenhrll.comgopher
to
gopher.prenhall.com
Upper Saddle River,
NJ
07458
 
Contents
Preface xi
1
Introduction
1
1.1
Estimation in Signal Processing
. . . . . . . . . . . . . . . . . . . . . . .
1
1.2
The Mathematical Estimation Problem
. . . . . . . . . . . . . . . . . .
1.3
Assessing Estimator Performance
. . . . . . . . . . . . . . . . . . . . . .
91.4
Some Notes to the Reader
. . . . . . . . . . . . . . . . . . . . . . . . . .
12
2
Minimum Variance Unbiased Estimation
15
2.1
Introduction
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
152.2
Summary
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
152.3
Unbiased Estimators
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
2.4
Minimum Variance Criterion
. . . . . . . . . . . . . . . . . . . . . . . .
192.5
Existence of the Minimum Variance Unbiased Estimator
.........
20
2.6
Finding the Minimum Variance Unbiased Estimator
. . . . . . . . . . .
21
2.7
Extension to
a
Vector Parameter
......................
22
3
Cramer
-
Rao Lower Bound
27
3.1
Introduction
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
273.2
Summary
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
273.3
Estimator Accuracy Considerations
. . . . . . . . . . . . . . . . . . . . .
283.4
Cramer
-
Rao Lower Bound
..........................
303.5
General CRLB
for
Signals in White Gaussian Noise
............
353.6
Transformation of Parameters
. . . . . . . . . . . . . . . . . . . . . . . .
373.7
Extension to
a
Vector Parameter
......................
393.8
Vector Parameter CRLB for Transformations
. . . . . . . . . . . . . . .
453.9
CRLB for the General Gaussian Case
. . . . . . . . . . . . . . . . . . .
473.10
Asymptotic CRLB for WSS Gaussian Random Processes
. . . . . . . . .
503.1
1
Signal Processing Examples
. . . . . . . . . . . . . . . . . . . . . . . . .
533A
Derivation of Scalar Parameter CRLB
. . . . . . . . . . . . . . . . . . .
673B
Derivation of Vector Parameter CRLB
. . . . . . . . . . . . . . . . . . .
70
3C
Derivation of General Gaussian CRLB
. . . . . . . . . . . . . . . . . . .
733D
Derivation of Asymptotic CRLB
. . . . . . . . . . . . . . . . . . . . . .
77
vii

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