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Exercises: Estimation and Detection (ET 4386)

The document outlines exercises on Bayesian estimation and detection techniques. It covers the Bayesian philosophy, different types of Bayesian estimators like MMSE and MAP, nonlinear estimators, and the linear MMSE estimator. Example exercises are provided to illustrate prediction and smoothing using the LMMSE.

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ShafiullaShaik
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213 views10 pages

Exercises: Estimation and Detection (ET 4386)

The document outlines exercises on Bayesian estimation and detection techniques. It covers the Bayesian philosophy, different types of Bayesian estimators like MMSE and MAP, nonlinear estimators, and the linear MMSE estimator. Example exercises are provided to illustrate prediction and smoothing using the LMMSE.

Uploaded by

ShafiullaShaik
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Estimation and Detection (ET 4386)

Exercises
Outline

The Bayesian philosophy


General Bayesian estimators
Bayesian estimators
Exercise 1: the minimum mean square error (MMSE) and maximum a posteriori
(MAP) estimators
Exercise 2: different kinds of Bayesian estimators
Exercise 3: nonlinear Bayesian estimators
The linear MMSE (LMMSE) estimator
Exercise 4: the LMMSE for prediction
Exercise 5: the LMMSE for smoothing
1

The Bayesian philosophy

The unknown parameter is viewed as a random variable, and we estimate its


particular realization.
Besides the observation x, we have additional information about , its prior pdf
p().
We look for the estimate of which minimizes the Bayesian mean square error


arg min E ( )2 = arg min

ZZ

( )2 p(x, )dxd

As a result we obtain the mimimum mean square error (MMSE) estimator


= E(|x) =

p(|x)d

General Bayesian estimators

We look for the estimate of , which minimizes the Bayes risk




arg min E C( ) = arg min

C( )p(|x)d

where the cost function C() with = can take many different forms.
The hit or miss cost function

0, ||
C() =
1, || >

leads to the maximum a posteriori estimator (MAP)


= arg max p(|x)

Exercise 1
The MMSE and MAP estimators

For the posterior pdf







1
1
p(|x) = exp ( x)2 + exp ( + x)2
2
2
2
2

Plot the pdf for =

1
2

and = 34 . Next, find the MMSE and MAP estimators of for

the same values of .

Exercise 2
Different kinds of Bayesian estimators

Let the observation x have conditionally uniform density

1, 0 < x

p(x|) =
0, otherwise.
where is a random variable with density

exp(),
0
p() =
0,
otherwise.

A useful formula: for 0,

Z
u exp(u)du = ( + 1) exp().

(a) Find the MAP estimator of .


(b) Find the MMSE estimator of .
(c) Find the minimum mean absolute error estimator of .
5

Exercise 3
Nonlinear Bayesian estimators

Consider the quadratic estimator


= ax2 [0] + bx[0] + c
for a scalar parameter based on the single data sample x[0]. Find the coefficients a, b, c that minimize the Bayesian MSE.
If x[0] is uniformly distributed in the range of [ 21 , 12 ] and = cos(2x[0]), find the
LMMSE estimator and the quadratic MMSE estimator. Compare the minimum
MSEs.

Linear minimum mean square error (LMMSE) estimator

The LMMSE is linearly related to the observations as


= aN +

N
1
X

an x[n]

n=0

where x is a random vector with mean E(x) and covariance matrix Cxx , and is
a random vector with mean E() and covariance matrix C .

Designing the coefficients {an }n , the LMMSE is given by


= E() + CxC1
xx (x E(x))

Linear minimum mean square error (LMMSE) estimator

The linear system model is given by,


= H + w
x
where w is a random vector with zero mean and covariance matrix Cww , and
is a random vector with mean E() and covariance matrix C .
and w are uncorrelated.

The LMMSE in closed form is given by


1
T
T

= E() + C H HC H + Cww
(x HE())

1 1 T 1
T
1
= E() + HCww H + C
H Cww (x HE())

Exercise 4
The LMMSE for prediction

Consider an AR(N ) process


x[n] =

N
X
k=1

a[k]x[n k] + u[n]

where u[n] is white noise with variance 2 . Prove that the optimal one-step linear
predictor of x[n] is
x
[n] =

N
X
k=1

Also find the MMSE.

a[k]x[n k]

Exercise 5
The LMMSE for smoothing

We observe the data x[n] = s[n] + w[n] for n = 0, 1, . . . , N 1, where s[n] and w[n]
are zero mean WSS random processes which are uncorrelated with each other.
The ACFs are
rss [k] = s2 [k]
2
[k]
rww [k] = w

Determine the LMMSE estimator of s = [s[0], s[1], . . . , s[N 1]]T based on the ob-

servation x = [x[0], x[1], . . . , x[N 1]]T . Determine also the corresponding minimum MSE matrix.

10

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