ECE 531: Detection and Estimation Theory, Spring 2011

Homework 1
ALL SOLUTIONS BY Shu Wang thanks for submitting latex le in 1st homework!
Problem1 (2.1)
Solution:
E[

2
] = E[
1
N
N1

n=0
x
2
[n]]
=
1
N
N1

n=0
E[x
2
[n]]
=
1
N
N
2
=
2
So this is an unbiased estimator.
V ar(

2
) = V ar(
1
N
N1

n=0
x
2
[n])
=
1
N
2
N1

n=0
V ar(x
2
[n])
=
1
N
2
NV ar(x
2
[n])
=
1
N
V ar(x
2
[n])
According to x[n] is iid, then x
2
[n] is also iid. We know that V ar(x
2
[n]) = E[x
4
[n]] E[x
2
[n]]
2
.
And according to central moment:
E[(x )
p
] =

0 if p is odd

p
(p 1)!! if p is even
n!! denotes the double factorial, that is the product of every odd number from n to 1. And is the
mean of x. In this problem, we know that the mean of x is 0. So we can have E[x
4
[n]] = 3
4
. So
V ar(x
2
[n]) = 3
4

4
= 2
4
. Then we have
V ar(

2
) =
1
N
2
N2
4
=
2
4
N
1
And V ar(

2
) 0 as N
Problem2 (2.3)
Solution:
E[

A] = E[
1
N
N1

n=0
x[n]]
=
1
N
N1

n=0
E[x[n]]
=
1
N
NA = A
V ar(

A) = V ar(
1
N
N1

n=0
x[n])
=
1
N
2
NV ar(x[n])
=
1
N

2
=

2
N
According to x[n] is iid. Gaussian distributed. So we have

A N(A,

2
N
).
Problem3 (2.8)
Solution:
From 2.3, we know that

A N(A,

2
N
). Then we can have:
lim
N
Pr{|

A A| > } = lim
N
Pr{
|

A A|

2
N
>

2
N
}
According to Q-function, we will have
lim
N
Pr{
|

A A|

2
N
>

2
N
} = lim
N
Q(

2
N
)
= lim
N
Q(

)
= 0
2
So

A is consistent.
E[

A] = E[
1
2N
N1

n=0
x[n]]
=
1
2N
N1

n=0
E[x[n]]
=
1
2N
NA
=
A
2
V ar(

A) = V ar(
1
2N
N1

n=0
x[n])
=
1
4N
2
N1

n=0
V ar(x[n])
=
1
4N
2
N
2
=

2
4N
According to x[n] is iid white Gaussian. So

A N(
A
2
,

2
4N
). Then we can have:
lim
N
Pr{|

AA| > } = lim

N
Pr{
|

AA|

2
4N
>

2
4N
}
Also according to Q-function, we can have:
lim
N
Pr{
|

A A|

2
4N
>

2
4N
} = lim
N
Q(

2
4N
)
= lim
N
Q(

4N

) = 0

A is a biased estimator. It is centered at

A
2
. So

A is not consistent.
Problem4 (2.9)
3
Solution:
E[

] = E[(
1
N
N1

n=0
x[n])
2
]
= V ar(
1
N
N1

n=0
x[n]) +E[
1
N
N1

n=0
x[n]]
2
=

2
N
+A
2
=
So this is a biased estimator. E[

] A
2
as N , this estimator becomes unbiased. This
estimator is asymptotically unbiased.
4