ECE 4110: Random Signals in Communications andSignal Processing
ECE department, Cornell University, Fall 2013Homework 5
Due Friday October 11 at 5:00 p.m. Feel free to turn it in earlier!!!1. Let Y i = X + Z i for i = 1 , 2 ,...,n be n observations of a signal X ~ N (0 ,P ).The additive noise components Z 1 ,Z 2 ,...,Z n are zero-mean jointly Gaussian randomvariables that are independent of X . Furthermore, assume that the noise components Z 1 ,...,Z n are uncorrelated, each with variance N . Find the best MSE estimate of Xgiven Y 1 ,Y 2 ,...,Y n and its MSE. Hint: It might be convenient to assume a form of the estimator and use the ortho gonality principle to claim optimality. 2. Suppose that g ( ? Y ) is the linear least-square error (LLSE) estimator for X given ? Y : g ( ? Y ) = L [ X | ? Y ] = K X ? Y K - 1 ? Y ( ? Y - E [ ? Y ]) + E [ X ] . Determine the mean square error E [( X - g ( ? Y )) 2 ]in terms of the means, covariances, and cross-covariances of X and ? Y .3. Prove that(a) L [ X 1 + X 2 | ? Y ] = L [ X 1 | ? Y ] + L [ X 2 | ? Y ](b) L [ L [ X | ? Y,? Z ] | ? Y ] = L [ X | ? Y ]4. Let ? X be Gaussian random vector with mean [1 4 6] T and covariance matrix ?? 3 1 01 2 10 1 1 ?? . (a) Compute E [ X 1 | X 2 ] and E [( X 1 - E [ X 1 | X 2 ]) 2 ].(b) Compute E [ X 1 | X 3 ] and E [( X 1 - E [ X 1 | X 3 ]) 2 ].(c) Compute E [ X 1 | X 2 ,X 3 ] and E [( X 1 - E [ X 1 | X 2 ,X 3 ]) 2 ].(d) Note that X 1 and X 3 are uncorrelated, and hence independent. Yet E [ X oth X 2 and X n . (a) Does this sequence converge almost surely, and if so, to what limit?(b) Does this sequence converge in mean square, and if so, to what limit?