System Identication and Data Analysis

Homework # 1
Exercise 1.
1. For N points x
i
(with N at least 100), equally spaced between 1 and 10, simulate
the random variables
y
i
= Acos (x
i
+ ) + e
i
, i = 1, . . . , N
with A = 5, = 2 and =

4
, where the e
i
are independent random variables
from the Gaussian distribution N(0, 4).
2. Assuming that and are known, compute the least squares estimate of A, based
on the data simulated in point 1. Plot the obtained model y =

A
LS
cos (x
i
+ )
and compare it with the data points (x
i
, y
i
). Repeat the estimation on dierent
data realizations.
3. Repeat point 2, with new data sets such that e
i
N(0, 0.01). Which dierences do
you notice?
4. Simulate a new set of data, so that the rst half of the random variables e
i
have
variance equal to 1 and the last half have variance equal to 0.01. Assuming that
and are known, compute the minimum variance linear estimate of A based on the
simulated data. Compare it with the least squares estimate. Which dierences do
you notice? Explain.
5. Now assume that both A and are not known. Using the same data set generated
in point 1, try to estimate simultaneously A and . Which kind of problem is this?
Find a meaningful approximate technique to solve the estimation problem.
Exercise 2.
1. Simulate a sequence of independent two-dimensional random vectors e
i
, i = 1, . . . , N,
with N = 100, such that e
i
are Gaussian random variables with E[e
i
] = 0 and
E[e
i
e
T
i
] =

2 1
1 1

.
2. Simulate a sequence of one dimensional independent random variables x
i
, uniformly
distributed in the interval [1, 1] and independent from variables e
i
. Then, dene
the sequence of two-dimensional random vectors y
i
such that
y
1,i
= x
i
+ e
1,i
y
2,i
= 3x
i
+ e
2,i
for i = 1, . . . , N. (1)
3. By using equations (1) and the statistical properties of the involved random va-
riables, compute the LMSE estimator of the random variable x based on a single
measurement of the vector y = [y
1
y
2
]

, and the corresponding MSE.

4. Now assume that the equations (1) and the statistical properties of the random
variables are not known, but only the simulated sequences x
i
and y
i
are availa-
ble. Compute the LMSE estimator by calculating the necessary sample means and
covariances. Compare the resulting estimator with that obtained at point 3.
5. Repeat point 4 by simulating a data sequence of length N = 10000. What are the
main dierences? Explain.