E1 244 Detection & Estimation Theory Assignment
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samyak jainE1 244 Detection & Estimation Theory Assignment
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Powered by AITo determine if ˆλ2(y) is the MVU estimator for λ, we first need to show that the statistic T(y) = Σ yk is a complete sufficient statistic for the parameter λ based on the Poisson distribution property. Since ˆλ2(y) is a function of the complete statistic T(y), if it is unbiased, it is the MVU by Lehmann-Scheffé theorem. The unbiasedness constraint is satisfied by proving E[ˆλ2(y)] = λ, using the properties of Poisson distribution, where ˆλ2(y) = (N−1)/N * T(y).
The unbiasedness constraint for BLUE cannot be satisfied in estimating θ for log-normal PDF observations because the mean of log-normal distribution is not a linear function of θ. Specifically, the mean is e^(θ+0.5), which is a nonlinear function of θ. This indicates that the expected value of any linear combination of log-transformed observations can't equal θ directly, violating the linear unbiasedness condition for BLUE .
To evaluate the bias and covariance of the ML estimator of p for a coin toss, we first express the ML estimator p̂ as the sample mean of the observations. The bias of the ML estimator is the difference between its expectation and the true parameter p, calculated as E[p̂] - p, which is zero since p̂ is unbiased in this context. The covariance of p̂, which is a single parameter estimate, is evaluated as Var(p̂) = p(1−p)/N, where N is the total number of tosses, quantifying the estimator's random variability .
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To find the BLUE of θ using transformations, the method of transforming the log-normal observations into normal ones is appropriate. By transforming yk using zk = ln(yk), the distribution becomes normal with mean θ and variance 1. This transformation allows the application of linear estimation techniques on zk to determine the BLUE of θ effectively, using properties of normal distributions .
The Cramer-Rao Bound (CRB) provides a lower bound on the variance of unbiased estimators of a parameter, serving as a benchmark for estimator efficiency. In the context of coin toss experiments for parameter p, the CRB is given by Var(MLE) ≥ 1/(N*p(1-p)), where N is the number of observations. An estimator is said to be efficient if its variance equals the CRB. For the ML estimator of p in a binomial setting, its variance p(1-p)/N meets the CRB, indicating maximum efficiency .
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The Neyman-Fisher factorization theorem helps identify a sufficient statistic for a parameter by factorizing the joint distribution of the data into two parts: one involving the data only through the statistic and the other independent of the parameter. For the mixture distribution f(y; θ) = θf1(y) + (1−θ)f2(y), with disjoint supports ¯Y1 and ¯Y2, the theorem allows us to conclude that T(y) = 1{y∈¯Y1} is sufficient for θ because it captures all the information about θ contained in the data .
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