PRENTI CE HAL L SIGNAL PROCESSING SERIES

Alan V. Oppenheim, Series Editor

ANDREWS AND HUNT
BRIGHAM The Fast Fourier Tmnsform
BRIGHAM
BURDIC
CASTLEMAN Digital Image Processing
COWAN AND GRANT Adaptive Filters
CROCHIERE AND RABINER
DUDGEON AND MERSEREAU
HAMMING Digital Filters, 3/ E
HAYKIN, ED.
HAYKIN, ED. Array Signal Processing
J AYANT AND NOLL
J OHNSON AND DUDGEON
KAY
KAY Modern Spectral Estimation
KINO
LEA, ED.
LIM
LI M, ED. Speech Enhancement
LI M AND OPPENHEIM, EDS.
MARPLE
MCCLELLAN AND RADER
MENDEL
OPPENHEI M, ED.
OPPENHEIM AND NAWAB, EDS.
OPPENHEIM, WILLSKY, WITH YOUNG
OPPENHEIM AND SCHAFER Digital Signal Processing
OPPENHEI M AND SCHAFER Discrete- Time Signal Processing
QUACKENBUSH ET AL. Objective Measures of Speech Quality
RABINER AND GOLD
RABINER AND SCHAFER Digital Processing of Speech Signals
ROBINSON AND TREITEL
STEARNS AND DAVID
STEARNS AND HUSH
TRIBOLET
VAIDYANATHAN
WI DROW AND STEARNS
Digital Image Restomtion
The Fast Fourier Transform and Its Applications
Underwater Acoustic System Analysis, 2/E
Multimte Digital Signal Processing
Multidimensional Digital Signal Processing
Advances in Spectrum Analysis and Array Processing, Vols. I 5 II
Digital Coding of waveforms
Array Signal Processing: Concepts and Techniques
Fundamentals of Statistical Signal Processing: Estimation Theory
Acoustic Waves: Devices, Imaging, and Analog Signal Processing
Trends in Speech Recognition
Two-Dimensional Signal and Image Processing
Advanced Topics in Signal Processing
Digital Spectral Analysis with Applications
Lessons in Digital Estimation Theory
Number Theory an Digital Signal Processing
Applications of Digital Signal Processing
Symbolic and Knowledge-Based Signal Processing
Signals and Systems
Theory and Applications of Digital Signal Processing
Geophysical Signal Analysis
Signal Processing Algorithms
Digital Signal Analysis, 2/E
Seismic Applications of Homomorphic Signal Processing
Multimte Systems and Filter Banks
Adaptive Signal Processing
Fundamentals of
Statistical Signal Processing:
Est imat ion Theory
Steven M. Kay
University of Rhode Island
For book and bookstore information
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Contents
Preface xi
1 Introduction 1
1.1 Estimation in Signal Processing . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 The Mathematical Estimation Problem . . . . . . . . . . . . . . . . . . 7
1.3 Assessing Estimator Performance . . . . . . . . . . . . . . . . . . . . . . 9
1.4 SomeNotes to the Reader . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2 Minimum Variance Unbiased Estimation 15
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.2 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3 Unbiased Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.4 MinimumVariance Criterion . . . . . . . . . . . . . . . . . . . . . . . . 19
2.5 Existence of the MinimumVariance Unbiased Estimator . . . . . . . . . 20
2.6 Finding the MinimumVariance Unbiased Estimator . . . . . . . . . . . 21
2.7 Extension to a Vector Parameter . . . . . . . . . . . . . . . . . . . . . . 22
3 Cramer-Rao Lower Bound 27
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.2 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.3 Estimator Accuracy Considerations . . . . . . . . . . . . . . . . . . . . . 28
3.4 Cramer-Rao Lower Bound . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.5 General CRLB for Signals in White Gaussian Noise. . . . . . . . . . . . 35
3.6 Transformation of Parameters . . . . . . . . . . . . . . . . . . . . . . . . 37
3.7 Extension to a Vector Parameter . . . . . . . . . . . . . . . . . . . . . . 39
3.8 Vector Parameter CRLB for Transformations . . . . . . . . . . . . . . . 45
3.9 CRLB for the General Gaussian Case . . . . . . . . . . . . . . . . . . . 47
3.10 Asymptotic CRLB for WSS Gaussian RandomProcesses . . . . . . . . . 50
3.1 1 Signal Processing Examples . . . . . . . . . . . . . . . . . . . . . . . . . 53
3A Derivation of Scalar Parameter CRLB . . . . . . . . . . . . . . . . . . . 67
3B Derivation of Vector Parameter CRLB . . . . . . . . . . . . . . . . . . . 70
3C Derivation of General Gaussian CRLB . . . . . . . . . . . . . . . . . . . 73
3D Derivation of Asymptotic CRLB . . . . . . . . . . . . . . . . . . . . . . 77
vii