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PRENTICE H A L L SIGNAL PROCESSING SERIES

Alan V. Oppenheim, Series Editor

ANDREWSAND H UNT Digital Image Restomtion


BRIGHAM T h e Fast Fourier Tmnsform
BRIGHAM T h e Fast Fourier Transform and Its Applications Fundamentals of
BURDIC Underwater Acoustic System Analysis, 2/E
CASTLEMAN Digital Image Processing
COWAN AND G RANT Adaptive Filters Statistical Signal Processing:
CROCHIERE AND R ABINER Multimte Digital Signal Processing
D UDGEON AND MERSEREAU Multidimensional Digital Signal Processing
H AMMING Digital Filters, 3 / E Est imat ion Theory
HAYKIN,ED. Advances in Spectrum Analysis and Array Processing, Vols. I € 5 II
HAYKIN,ED. Array Signal Processing
JAYANT AND N OLL Digital Coding of waveforms
J OHNSON A N D D UDGEON Array Signal Processing: Concepts and Techniques
K AY Fundamentals of Statistical Signal Processing: Estimation Theory
KAY Modern Spectral Estimation
KINO Acoustic Waves: Devices, Imaging, and Analog Signal Processing
L EA , ED. Trends in Speech Recognition
LIM Two-Dimensional Signal and Image Processing
L IM , ED. Speech Enhancement
L IM AND OPPENHEIM,EDS. Advanced Topics in Signal Processing
M ARPLE Digital Spectral Analysis with Applications Steven M. Kay
MCCLELLAN AND RADER Number Theory an Digital Signal Processing
MENDEL Lessons in Digital Estimation Theory University of Rhode Island
OPPENHEIM, ED. Applications of Digital Signal Processing
OPPENHEIM AN D NAWAB, EDS. Symbolic and Knowledge-Based Signal Processing
OPPENHEIM, WILLSKY, WITH Y OUNG Signals and Systems
OPPENHEIM AND SCHAFER Digital Signal Processing
OPPENHEIM AND SCHAFERDiscrete- Time Signal Processing
Q UACKENBUSH ET AL. Objective Measures of Speech Quality For book and bookstore information
RABINERAND G OLD Theory and Applications of Digital Signal Processing
RABINERAND SCHAFERDigital Processing of Speech Signals
ROBINSON AND TREITEL Geophysical Signal Analysis
STEARNS AND DAVID Signal Processing Algorithms
STEARNS AND HUSH Digital Signal Analysis, 2/E
TRIBOLETSeismic Applications of Homomorphic Signal Processing
I http://wmn.prenhrll.com
gopher to gopher.prenhall.com I
VAIDYANATHAN Multimte Systems and Filter Banks
WIDROW AND STEARNS Adaptive Signal Processing

Upper Saddle River, NJ 07458


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 Some Notes 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 Minimum Variance Criterion . . . . . . . . . . . . . . . . . . . . . . . . 19
2.5 Existence of the Minimum Variance Unbiased Estimator . . . . . . . . . 20
2.6 Finding the Minimum Variance 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 Random Processes . . . . . . . . . 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

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