Problems in Detection and Estimation Theory
Problems in Detection and Estimation Theory
Joseph A. O’Sullivan Electronic Systems and Signnals Research Laboratory Department of Electrical and Systems Engineering Washington University in St. Louis St. Louis, MO 63130 [email protected]
May 4, 2006
Introduction
In this document, problems in detection and estimation theory are collected. These problems are primarily written by Professor Joseph A. O’Sullivan. Most have been written for examinations ESE 524 or its pre- decessor EE 552A at Washington University in St. Louis, and are thereby copyrighted. Some come from qualifying examinations and others are simply problems from homework assignments in one of these classes. Use of these problems should include a citation to this document. In order to give some organization to these problems, they are grouped into roughly six categories: 1. basic detection theory; 2. basic estimation theory; 3. detection theory; 4. estimation theory; 5. expectation-maximization; 6. recursive detection and estimation. The separation into these categories is rather rough. Basic detection and estimation theory deal with finite dimensional observations and test knowledge of introductory, fundamental ideas. Detection and estimation theory problems are more advanced, touching on random processes, joint detection and estimation, and other important extensions of the basic theory. The use of the expectation-maximization algorithm has played an important role in research at Washington University since the early 1980’s, motivating inclusion of problems that test its fundamental understanding. Recursive estimation theory is primarily based on the Kalman filter. The recursive computation of a loglikelihood function leads to results in recursive detection. The problems are separated by theoretical areas rather than applications based on the view that theory is more fundamental. Many applications touched on here are explored in significantly more depth elsewhere.
1 Basic Detection Theory 1.1 Analytically Computable ROC
Suppose that under hypothesis H1, the random variable X has probability density function
3 2 pX(x)= x , for − 1 ≤ x ≤ 1. (1) 2
1 Under hypothesis H0, the random variable X is uniformly distributed on [ -1 , 1 ].
a. Use the Neyman-Pearson lemma to determine the decision rule to maximize the probability of detection subject to the constraint that the false alarm probability is less than or equal to 0.1. Find the resulting probability of detection. b. Plot the receiver operating characteristic for this problem. Make your plot as good as possible.
1.2 Correlation Test of Two Gaussian Random Variables
Suppose that X1 and X2 are jointly distributed Gaussian random variables. There are two hypotheses for their joint distribution. Under either hypothesis they are both zero mean. Under hypothesis H1,theyare independent with variances 20/9 and 5, respectively. Under hypothesis H2, X1 44 E [X1 X2] = (2) X2 49
Determine the optimal test for a Neyman-Pearson test. Sketch the form of the corresponding decision region.
1.3 Discrete-Time Exponentially Decaying Signal in AWGN Suppose that two data models are