Estimation and Detection (Fall 2015)

* Total points: 100

* Due 10/26/2015
1. (100 points) Given the following system model:
x[n] = A + Bn + Cn2 + [n],

n = 0, 1, . . . , N 1.

(a) (30 points) Obtain the MVUEs for A, B and C. Indicate

the minimum variance of these estimators.
Sol:

0
1

1
1

x = H + , where H =
2
1

...
...

1 N 1 (N

0
1
4
...
1)2

, = B

= (HT H)1HT x
C = 2(HT H)1
Minimum variance of these estimators are diagonal of C

(b) (10 points) Let the noise be i.i.d and [n] N (0, 0.01).
Let N = 100, A = 0.5, B = 0.3, C = 0.9. Randomly generate N observations and calculate MVUEs for A, B and C

using the N observations.

Sol:

0.5125

= 0.2990

0.9000

(c) (20 points) Followed (b) for M = 1000 realizations. Let

i, B = 1 M B i, C = 1 M Ci, 2 =
A = M1 M
A
A
i=1
i=1
i=1
M
M
M
M
M
1
1
1
2
2
2
2
(
A

)
,

=
(
B

)
,

=
i
A
i
B
B
C
i=1
i=1
i=1 (Ci
M
M
M
C )2, where Ai, B i, Ci are the MVUEs obtained at the ith
realization. Calculate A2 , B2 , C2 and compare them to the
CRLBs of A, B and C.
Sol:

04

8.26e

06

2 =
1.80e

1.74e10

04

8.64e

, CRLB = 1.88e06

1.80e10

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(d) (10 points) Let N =500, repeat (b)-(c).

Sol:

04
0.4802
1.91e

2
= 1.55e06
=
0.3001 ,

0.9000
5.61e10

04

1.78e

, CRLB = 1.53e06

5.76e10

(e) (30 points) Plot the CRLBs of A, B, C and A2 , B2 , C2 as

functions of N , where N = 100 : 1 : 500.
Sol:

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