STATISTICAL SIGNAL PROCESSING 5.

Let us assume that the samples in exercise 22 are from the normal
EXERCISE 5: Properties of small sample spaces and CRLB distribution,

−(zi − µ)2
 
1
Examples: p(zi |µ, σ 2) = √ exp
2πσ 2σ 2
where µ is the only unknown parameter. Form the Cramer-Rao lower
1. Random variables X and Y have the probability distribution boundary for the unbiased estimator of µ. What can you say about the
performance of the estimator µ̂ = z?

8xy 0 ≤ x ≤ 1, 0 ≤ y ≤ x
f (x, y) = 6. Radar measurement typically obey the Rayleigh-distribution
0, otherwise
−zi2
 
Form a)marginal distribution of X b) marginal distribution of Y c) zi
p(zi |α) = exp , zi ≥ 0
conditional distribution of X, and d) conditional distribution of Y . α2 2α2

2. Calculate the expected value µ and variance σ 2 of the random variable Let us assume that we are given N statistically independent measure-
X, which obeys probability distribution ments z1 , z2 , . . . , zN Form the Cramer-Rao lower boundary for an esti-
mator of α.

b exp(−x/a), when x ≥ 0
f (x) =
0, otherwise
Exercises:
where a > 0. Determine the constant b first.

3. Samples z1 , z2 , . . ., zN are from the distribution that has unknown 1. We are using estimator
expected value µ and variance σ 2 . To find out these parameters we use
the following estimators. N
1 X 2
θ̂(N) = (z + b),
aN i=1 i
N
1 X
z= zi
N i=1 where a and b are constants. In addition we know that E{zi2 } = 3(θ−2).
Determine a and b so that θ̂(N) is unbiased estimator of parameter θ.
and Justify your answer.
Answer: a = 3, b = 6
N
21 X
s = (zi − z)2 2. We are measuring a signal z(k), which was known to obey the model:
N i=1
z(k) = s(k, θ) + w(k),
Calculate the expected valus E[z] and E[s2 ]. Are the z and s2 unbiased
estimators? Are they asymptotically unbiased? where k = 0, 1, . . . , N − 1, s(k, θ) is differentiable function, θ unknown
4. Using the samples z1 , z2 , . . . , zN from the previous exercise, we estimate deterministic parameter, and w(k) independent normally distributed
the parameter θ = µ2 . Present some unbiased estimator for θ. noise with zero mean and variance σ 2 . Show that if θ̂(N) is an estimator

1 2
 for parameter θ using measurements z(k), k = 0, 1, . . . , N − 1, it’s
variance obeys the following inequality.

σ2
V ar(θ̂(N)) ≥ P  2 .
N −1 ∂s(k,θ)
k=0 ∂θ

Phase angle φ was estimated using following measurement equation

z(k) = A cos(2πf0 k + φ) + w(k),

where k = 0, 1, . . . , N − 1, A and f0 known constants, z(k) the mea-

surement, φ the estimated phase angle, and w(k) independent normally
distributed noise with zero mean and variance σ 2 . Using the above re-
sult determine the smallest possible variance of the estimator φ̂(N).
σ2
Answer: E(φ̃(N)2 ) ≥ P N−1
A2 sin2 (2πf0 k+φ)
i=0

3. We use estimator

N
1 X 2
θ̂(N) = (z + 2)
2N i=1 i

and in addition we know that E{zi2 } = 2(θ − 1). Prove that θ̂(N) is
unbiased estimator for θ.

4. Let us assume that the observations ri obey the following distribution:

8ri3 −2(ri2 /θ)

p(ri |θ) = e
θ2
where ri > 0, i = 1, . . . , N and θ is unknown parameter. It is known
2
that E{ri4 } = 3θ2 and E{ri2 } = θ. Determine the CRLB for the unbi-
ased estimator of θ.
θ2
Answer: E(θ̃(N)2 ) ≥ 2N