ECE 567

STATISTICAL SIGNAL PROCESSING

SPRING 2008

Final Exam
14 May 2008

Name:
This is an open-book, open-notes exam. The use of electronic calculators is permitted. The
exam lasts 120 minutes.
There are five questions on the exam. Do all your work on these pages and indicate your
final answer clearly. An extra worksheet is provided for each problem. You may also use the
backs of the sheets if necessary (but if you do, be sure to mark clearly what problem that
work goes with).
Neatness and clarity are important and can influence your grade!
Each problem is weighted toward the final total as shown below.
Grades
1.

(20 pts.)

2.

(20 pts.)

3.

(20 pts.)

4.

(20 pts.)

5.

(20 pts.)

Total

(100 pts.)

1. [20 points] You measure x(n) for n = 0, 1, . . . , N 1. Assume that these values
represent i.i.d. data drawn from a Gaussian distribution with unknown mean and
unknown variance 2 . With = [

2 ]T denoting an estimate of = [ 2 ]T , what is the

maximum likelihood estimate and what is the minimum variance unbiased estimate?
Hint: Two different ways of writing the pdf of x are
"
#
N 1
1 X
2
2 N/2
2
p(x; , ) = (2 )
exp 2
(x(n) )
2 n=0
"
N 1
!#
X
1
= (2 2 )N/2 exp 2
(x(n) x)2 + N (x )2
2
n=0
where in the second of these expressions x =

1
N

PN 1
n=0

x(n).

EXTRA WORKSHEET for problem 1

2. [20 points] There are two checkout lines at your local grocery store. You know that
in one of the checkout lines, the checkout time (i.e. the time it takes to get through
the line) is a random variable x with

exp(x), x > 0
p(x) = exp(x)u(x) =
0,
x<0
In the other line, the checkout time x is a random variable with x U [0, 2]; that is,

0.5, 0 < x < 2

p(x) =
0,
otherwise
You dont know which line is which, so you pick one at random (that is, line 1 with
probability 1/2 and line 2 with probability 1/2). After standing in line and purchasing
your groceries, you find that the time it took to get through the line is x0 .
(a) What rule should you use, based on x0 , to determine which of the two checkout
lines you were in, if you want to minimize your probabilty of error?
(b) Find the minimum probability of error that is achievable.

EXTRA WORKSHEET for problem 2

3. [20 points] We know that

p(x(n); ) =

exp[(x(n) )], x(n) >

0,
x(n) <

and we make N i.i.d. measurements x(0), x(1), . . . , x(N 1).

(a) Find a sufficient statistic T (x) for .
(b) Assuming T (x) is complete, find a minimum variance unbiased estimate of .
d
d
Hint: pT (T0 ) = dT
[P r(T < T0 )] = dT
[1 P r(T > T0 )] .

EXTRA WORKSHEET for problem 3

4. [20 points] You measure three output samples of a noisy channel with gain . The
data model is
x(n) = s(n) + w(n)
where you know s(0) = 1, s(1) = 2, and s(2) = 2. You also know that E[w(n)] = 0
for each n and that

`=0
1,
0.5, ` = 1
E[w(n)w(n + `)] =

0,
otherwise
You measure x(0) = 0.8, x(1) = 3.6, x(2) = 0.4. Determine a value for an estimate

of based on this data, and justify why you think this is a reasonable estimator to
apply to the data.

EXTRA WORKSHEET for problem 4

5. As in the last problem, you measure three output samples of a noisy channel with gain
, where
x(n) = s(n) + w(n),
where you know s(0) = 1, s(1) = 2, and s(2) = 2, and where E[w(n)] = 0 for each n
with

`=0
1,
0.5, ` = 1
E[w(n)w(n + `)] =

0,
otherwise
Now, however, you also know that N (0, 1). Find an estimator
(x) that minimizes
2
E[(
(x)) ] and apply it to this data.

EXTRA WORKSHEET for problem 5