Scribd
Upload
25 views

1 Intro

This document provides information about a course on detection and estimation. It includes details about the instructor, class schedule, textbooks, grading criteria, and course content. The course will cover topics such as minimum variance unbiased estimation, Cramér-Rao bounds, maximum likelihood estimation, Kalman filtering, Neyman-Pearson detection, and sequential probability ratio testing. The overall objectives are to mathematically formulate estimation and detection problems and determine optimal solutions for different data models.

Uploaded by

Akshay Kaushik
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
25 views

1 Intro

This document provides information about a course on detection and estimation. It includes details about the instructor, class schedule, textbooks, grading criteria, and course content. The course will cover topics such as minimum variance unbiased estimation, Cramér-Rao bounds, maximum likelihood estimation, Kalman filtering, Neyman-Pearson detection, and sequential probability ratio testing. The overall objectives are to mathematically formulate estimation and detection problems and determine optimal solutions for different data models.

Uploaded by

Akshay Kaushik
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 20

E1 244: Detection and Estimation

Lecture 1: Introduction
Course information

I Instructor:
– Sundeep Prabhakar Chepuri.
Email: spchepuri AT iisc.ac.in

I Class schedule:
– Tuesdays and Thursdays 2.00-3.30pm (Online via MS Teams).

I Course webpage:
https://ece.iisc.ac.in/∼spchepuri/classes/e1244.html

2
Course information

I Teaching Assistants

Sravanthi Gurugubelli Prasobh Sankar


sravanthig prasobhr

I Exercise/tutorial sessions:
– By TAs, on 1st and 3rd Saturdays 11.00-12.30 pm

3
Textbooks

I Fundamentals of Statistical Signal Processing, Volume I: Estimation


Theory, S.M. Kay, Prentice Hall 1993, ISBN-13: 978-0133457117.
I Fundamentals of Statistical Signal Processing, Volume II: Detection
Theory, S.M. Kay, Prentice 1993, ISBN-13: 978-0135041352.
4
Other resources

I Statistical Signal Processing, L.L. Scharf, Pearson India, 2010,


ISBN-13: 978-8131733615.
I An Introduction to Signal Detection and Estimation, H.V. Poor,
Springer, 2nd edition, 1998, ISBN-13: 978-0387941738.
5
Grading and course requirements

I Prerequisite: Matrix theory (or equivalent) and random processes


(or equivalent).

I Three assigments (problem and programming set): 10% each, i.e.,


30% in total

I Midterm exam: 20%


– Open book exam.

I Project: 30%

I Final exam: 20%


– Open book exam.

6
Estimation theory

Time delay estimation or ranging

7
Estimation theory

Sensor localization and positioning

8
Estimation theory

9
Estimation theory

Denoising in hearing aids

10
A simplified model

How to determine ŝ - an estimate of s?

11
A simplified model

How to determine ŝ - an estimate of s?

I ŝ1 = y1 ?
PN
I ŝ2 = N1 i=1 yi ?

How good are these estimators? Are there better estimators?

12
A simplified model

How to determine ŝ - an estimate of s?

I ŝ1 = y1 ?
PN
I ŝ2 = N1 i=1 yi ?

Suppose noise at each microphone, ni , has variance σi2 . Then, how


about:
PN yi
i=1 σ 2
I ŝ3 = PN i
1 ?
i=1 σ 2
i

What is the recipe to determine optimal estimators?

13
Estimation theory

Typical formulation in estimation theory

y[n] = fn (θ) + w[n].

The noise is usually assumed to stochastic, the parameter vector of


interest θ may be

I an unknown deterministic quantity: classical estimation theory.

I an unknown random quantity: Bayesian estimation theory.

14
Detection theory

Radar - target detection

Delay/ranging might not be always required

15
Detection theory

Cognitive radio - spectrum sensing

16
Detection theory

How to choose γ?

17
Detection theory
Typical detection problem formulation, also referred to as binary
hypothesis testing problem:

(no target) H0 :x[n] = w[n]

(target) H1 :x[n] = s[n] + w[n]

We wish to infer the state of nature, i.e., to decide on H0 or H1 using a


detector of the form:
T (x[n]) > γ

I How to make an optimal decision: how to choose T (·) and γ?


I detection of deterministic signals: Neyman-Pearson detectors.
I detection with priors: Bayes detectors.
I detection with unknown parameters.
18
Content

I Review of linear algebra and random processes.


I Minimum variance unbiased estimator
I Cramér-Rao bound
I Maximum likelihood estimator
I Best linear unbiased estimator
I Least squares and recursive least squares.
I Structured covariance estimation
I Bayesian estimators (MMSE and MAP estimators)
I Kalman filtering
I Neyman-Pearson detector
I Bayes detector
I Multiple hypothesis testing
I Composite hypothesis testing
I Sequential probability ratio test (SPRT)
19
Course objectives

Generally, a solution to estimation and detection problems depend on the


underlying data model and the statistical description of the noise and/or
unknowns.

I How to mathematically formulate such problems?

I Determine optimal estimators, characterize performance of these


estimators, and compute the estimation bound.

I Determine optimal detectors and characterize the performance of


these detectors.

20

You might also like