Scribd
Upload
32 views4 pages

The General Gaussian Problem: N 1 I I I

The document discusses the general Gaussian problem in parameter estimation and hypothesis testing. It can be summarized as follows: 1. The general Gaussian problem refers to cases where the conditional density of the data is Gaussian under all hypotheses or parameter values. This includes problems where the data is jointly Gaussian distributed. 2. For hypothesis testing problems that are general Gaussian, the likelihood ratio test (LRT) involves comparing a quadratic form of the data to a threshold. For parameter estimation problems, the posterior density is Gaussian. 3. Special cases of the general Gaussian problem include when the covariance matrices are equal and when the mean vectors are equal. In these cases, the LRT can be simplified to involve comparing linear or scalar

Uploaded by

JagritiKumari
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
32 views4 pages

The General Gaussian Problem: N 1 I I I

The document discusses the general Gaussian problem in parameter estimation and hypothesis testing. It can be summarized as follows: 1. The general Gaussian problem refers to cases where the conditional density of the data is Gaussian under all hypotheses or parameter values. This includes problems where the data is jointly Gaussian distributed. 2. For hypothesis testing problems that are general Gaussian, the likelihood ratio test (LRT) involves comparing a quadratic form of the data to a threshold. For parameter estimation problems, the posterior density is Gaussian. 3. Special cases of the general Gaussian problem include when the covariance matrices are equal and when the mean vectors are equal. In these cases, the LRT can be simplified to involve comparing linear or scalar

Uploaded by

JagritiKumari
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

** Comment on multiple parameter estimation

Most of the ideas can be extended from the single parameter case
Estimate more than one parameter

Read 2.4.3 Van Trees

The General Gaussian Problem

Cases where conditional density of R is Gaussian.

Definition : A set of random variables r1, r2, ..., rN are defined as jointly Gaussian
if all their linear combinations are Gaussian random variables.
Definition : A vector r is a Gaussian random vector when its components r1, r2,
..., rN are jointly Gaussian variables.

If z =

g i ri

GT r

i 1

is a Gaussian random variable for all finite GT, then r is a Gaussian vector.

E[r] = m
cov[r] = E[(r - m) (rT- mT)]

If is nonsingular
N
p(R) = 2 2

1
1

2
exp R T m T 1 R m

Definition : A hypothesis testing problem is called a General Gaussian if p(R|Hi)


is a Gaussian density on all hypotheses.
Similarly, estimation problem p(R|A) Gaussian density A
General Gaussian case.

Jan12

xxx
DCE

40

r1
r
2
r = . , E[r|H1] =

.
rN

Er1 | H1 m11
Er | H m
2 1 12
.
.
m1

.
.
ErN | H1 m1N

The covariance matrix is


1 K11
K
1 21
T
T
K1 E[(r m1) (r - m1 )|H1] = .

.
under H1
1 K N1

1K 23 ... 1K 2 N

1K NN

1K 12

1K 13 ...

1K 22

.
.

1 K 1N

If Q1 K1-1 Q1K1 = K1Q1 = I


N
Thus, p(R|H1) = 2 2 K 1

Similarly,

1
1 T

T
2

m
Q
R

m
exp
1
1
1
2

1 1
N
1

p(R|H0) = 2 2 K 0 2 exp R T m T0

2
The LRT
1
1

K 0 2 exp R T m1T Q1 R m1
2

(R) =
1
1

K 1 2 exp R T m T0 Q 0 R m 0
2

R m 0

H1

H0

>
<

Taking logarithm

1 T
1
(R m T0 )Q 0 (R m 0 ) R T m1T Q1(R m1 )
2
2
H1
>
< ln + ln |K | - ln |K | *
1

H0
L.H.S difference of quadratic forms.
Jan12

xxx
DCE

41

Special Cases
1.

Equal Covariance Matrices


K1 = K0 K
m1 m0
-1
Q = K symmetric

The above simplifies to

m1T m T0 Q R

H1
>
<

ln +

H0

1 T
m1 Qm1 m T0 Qm 0 *,
2

Let m = m1 m0
l(R) mTQR
or
l(R) RTQm

H1
>
<

*,

H0
H1
>
<

*,

H0
Scalar Gaussian r.v a linear transformation by Gaussian r.v.s.
Thus, performance can be completely characterized by
2

d
Thus

El | H1 El | H 0 2

varl | H 0

Normalizing

E(l|H1) = mTQm1
E(l|H0) = mTQm0
var(l|H0) = E{[mTQ(R-m0)] [(R-m0T) Qm]}
= mTQm
(because E{(R-m0)(R-m0 T) } = K = Q-1)
Therefore
d2 = mTQm
Jan12

xxx
DCE

42

If K = 2 I Q =

I
2
1
1
d2 = mT
I m =
mTI m
2
2

1
1
=
|m|T =
[(m11 m01)2 + (m12 m02)2 + ]
2
2
l(R) =

mTR

The sufficient statistic is just the dot (scalar) product between R and
the mean difference vector m.

Equal mean vectors


m1 = m0 m 0 without loss of generality
Q = Q0 Q1
l(R) RQR

H1
>
<
H0

R , QR l(R) is not a Gaussian r.v.

Jan12

xxx
DCE

43

You might also like