Bilge Günsel

TEL531E Detection and Estimation Theory

HW #1-2
 19/12/16

Deterministic Signals
Binary detection problem:
H0 x[n] = w[n]
H1 x[n] = s[n] + w[n]
Assumptions

• s[n] is deterministic and known.

• w[n] is white Gaussian noise with variance 2

.

Question: What is the correlation function of w[n]?

17

Deterministic Signals
The NP detector decides H1 if the likelihood ratio exceeds a threshold or Notice that presence of s[n]
implies change in mean of
p(x; H1 )
L(x) = >
p(x; H0 ) observe signal. Optimal detector

where x = [x[0], x[1], . . . , x[N 1]]T . Since will test whether there is a
" # change in the mean of the test
N 1
1 1 X 2
p(x; H1 ) = N exp 2
(x[n] s[n]) statistic.
(2⇡ 2) 2 2 n=0
" N 1
#
1 1 X 2
p(x; H0 ) = N
exp 2
x [n]
(2⇡ 2) 2 2 n=0

we have " !#
N
X1 N
X1
1 2 2
L(x) = exp 2
(x[n] s[n]) x [n] > .
2 n=0 n=0

18

9
 Generalized Matched Filters
 The matched filter is an optimal detector for a known signal in WGN
 In many situations, however, the noise is more accurately modeled as
correlated noise
 Let C is the covariance matrix of the noise, we assume that
 If the noise is modeled as wide sense stationary (WSS), then C has the
special form of a symmetric Toeplitz matrix
 the elements along any NW to SE diagonal of C are the same


 Observation vector x[x[0] x[1]...x[N-1]] has the following PDFs under two
hypothesis

 In the WGN case C=  

 In the correlated noise case the detector is again referred as a
generalized replica-correlator or matched filter where the replica is
the modified signal     
Example 4.3 Uncorrelated Noise with Unequal
Variances

 If a data sample has small variance, then we weight its

contribution to the sum (decision statistics) more heavily
 In the WGN case C=   thus observations have the same weights
 The noise samples have been equalized or prewhitened thus
 The general matched filter first prewhitens the noise samples!
 In doing so it also distorts the signal , if present, to be
 As a result, after prewhitening the detector correlates against the
distorted signal
 The generalized matched filter can be expressed as

 The generalized matched filter can be thought of as a prewhitener,

which is then followed by a correlator or matched filter to the
distorted signal
The prewhitening form of the generalized matched filter
For any C that is positive definite

  is exists and also positive definite thus it can

be factorized as   =   where D is a non-
singular NxN matrix referred as prewhitening
matrix
  
 D=diag , ,…, for the previous Exp.4.3
  

Thus the test statistics becomes

 Why shape of the signal is important?

In the WGN case C=   and probability of

detection increases monotonically with the energy
of the signal not with its shape
In colored noise case the probability of detection
increases monotonically with thus the
signal can be designed to maximize

How to optimize the signal??