Estimation theory
Johan E. Carlson
Dept. of Computer Science, Electrical and Space Engineering
Lule University of Technology
Lecture 1
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Outline
1. General course information
2. Introduction (Chapter 1)
2.1. Estimation theory in Signal Processing
2.2. Problem formulation
2.3. Assessing estimator performance
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3200
3100
3000
2900
2800
0
20
40
60
Day number
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80
100
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x[n]
2
1
0
1
0
20
40
60
80
100
b to A?
How close will A
Are there any better estimators than the sample mean?
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N 1
1 X
x[n]
N
n=0
1
N
N
1
X
E(x[n])
n=0
= A
For the second estimator
b = E(x[0]
E(A)
= A
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N 1
1 X
x[n]
N
n=0
=
=
=
1
N2
N
1
X
var(x[n])
n=0
1
N 2
N2
2
N
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Unbiased estimators
An estimator is said to be unbiased if
b = ,
E()
for all possible values of .
If = g(x), this means that
Z
b
E() = g(x)p(x; )dx = ,
for all .
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1
(x[0] + x[1])
2
2
1
x[0] +
3
3
1
(var(x[0]) + var(x[1]))
4
4
1
var(x[0]) + var(x[1])
9
9
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E() =
E(b1 )
E(b2 )
..
.
E(bp )
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