M2R SAR (Exam 2013-2014)

SAR-B12 : Estimation and detection.

Duration : 1h00,
No documents and no scientific calculator authorised.

1 Radiomobile propagation : Fast fading

The UHF propagation channel (f [300 MHz, 3 GHz]) is widely used by wireless digital communication systems to transmit and receive signals. Within this frequency bandwidth, the electromagnetic
waves propagation is characterised by multipath propagation. Consequently the received signal is the
sum of multiple versions of the transmitted signal and the amplitude of the sensed electromagnetic
field is subject to important fluctuations. These spatial variations are named fast fading. In a Non Line
Of Sight (NLOS) propagation, the electromagnetic field distribution follows a Rayleigh distribution.
The estimation of the unic parameter of this distribution law : 2 , is important for the wireless
systems definition.
Then, we will first establish the physical model of the sensed signal. From this observation model
(observation rules), we will build an estimator (estimation rule). Finally, the performances of this
estimator will be established and compared to the Cramer Rao Bound (CRB).

1.1 Observation and physical model.

The goal of this first part is to obtain a realistic model of the physical phenomenum. In order to
offer you the possibility to find the estimator even if you do not succed in this modelisation process,
the physical model of amplitude distribution in a NLOS propagation will be given at the begining of
question 1.2. The amplitude of the received signal is in this case Rayleigh distributed.
Due to the electromagnetic wave propagation mechanisms in the UHF band, the received signal can
be modeled as the sum of N versions of the original signal (multipath) :
r exp (j) =

N
X

rk exp (jk )

k=1

where all the rk exp (jk ) are statistically independents.

We also assume that all the variables rk are identically distributed, that r 0 and that the probability density function of the phases k is uniform :
1
, 0 < 2
2
The variables rk et k are assumed independents. In this model rk represents the amplitude of
the kth electromagnetic path and k its phase.
Let us now introduce the notation :
p () =

x =

N
X
k=1
N
X

rk . cos (k )
rk . sin (k )

k=1

Assuming that N is large, applying the large number law to this model, x et y are assumed to be
identically distributed and that they follow a Gaussian law of variance 2 .
1.1.1 Relationship between x and y.
Demonstrate that E [x.y] = 0, use for this the assumed properties of rk and k .
1.1.2 Mean of x and y.
Calculate E [x] and E [y].
1.1.3 Variance de x et y.
Using the previous results (question
1.1.2), give the equation of E x2 as a function of N , E rk2 .

Do exactly the same with E y 2 .


1.1.4 Transformation from Cartesian to polar coordinates.

a) Give the relationship between r and x, y (we have assmued that r 0).
b) Give now the relationship between and the couple x, y.
!
c) Knowing that pr (r, ) = det(J)pxy (x, y) with J =

x
r
y
r

the Jacobian matrix and det(.)

the determinent, establish the expression of pr (r, ).

d) By marginalization of pr (r, ), then obtain the distribution function pr (r). Do the same in order
to establish p ().
Z +

Z 2

Recall : marginalization equations are pr (r) =

pr (r, )dr

pr (r, )d and p () =
0

1.2 Parametric Estimation

Let r = (r1 , r2 , , rN )T be the observation vector where rk = r(tk ). The rk are assumed to be
independent and identically distributed. We also assume that all these rk follow a Rayleigh distribution :
r
r2
pr (r) = 2 exp 2

(1)

a) Build the likelihood function L(r, ) = pr (r|).

b) Determine the log-likelihood function : `(r, ) = ln (L(r, )).
2 , of the parameter 2 .
c) Then deduce the maximum of likelihood estimator,
M
L
d) From this result, propose a sufficient statistic T (r) for 2 .
e) Starting from the probability distribution function (1), demonstrates that T (r) is a sufficient
statistic.
Recall of the Neyman-Fisher factorisation theorem :
If we can factor the pdf p(x; ) as :
p(x; ) = g (T (x), ) h(x)

(2)

where g(.) is a function depending on x only through T (x) and h(x) is a function depending only
on x, then T (x) is a sufficient statistic for . Conversely, if T (x) is a sufficient statistic for , then
the pdf can be factored as in (2).

1.3 Performance analysis.

2 , will be examined in
In this part, the performances of the maximum of likelihood estimator,
M
L
term of bias and variance.
 2

 
a) Calculate the bias of the estimator E
M L 2 , knowing that E rk2 = 2 2 if rk is Rayleigh
distributed.




2
2
4
b) Calculate now the variance of the estimator V ar
M
L , knowing that V ar rk = 4 .

1.4 Cramer-Rao bound.

From the observation rules given in (1), we will establish the Cramer-Rao minimal bound.
a) Starting from the expression of the Cramer-Rao bound in a scalar case :
1

CRB( 2 ) =
E

h

ln pr, (R,)
2

i2  =

1
E

nh

2 ln pr, (R,)
2
2

io

(3)

Calculate the Cramer-Rao Bound : CRB in the case of the observation model (1).
b) Conclude on the performances of the ML estimator.

2 Estimator performances.
Assume that Y1 , . . . , Yn are independent and identically distributed random variables with each Yi
having the following probability density function :
y2
y
pY (y|) = 3 exp
,
2

y>0

where > 0 is the parameter of interest. It is known that E [Yi ] = 3 and V ar [Yi ] = 32 for each
i = 1, . . . , n.
a) Let m1 be the moment of order 1 of the random variables Yi : m1 = E [Yi ] and its empirical
evaluation m
1 =

n
X

1
n

xk . Determine a first estimator of the parameter of interest : M OM as a

k=1

fonction of m
1 . (It is the Method Of Moment estimator of )
(b) Compute the likelihood function L(y, ) for the observation vector Y = (Y1 , Y2 , , Yn )T .
(c) From L(y, ), give the maximum of likelihood estimator of : M L .
(d) Based on your answers to (a) and (c), show that both M OM and M L are unbiased estimators
of .
(e) Based on your answers
the performances of M OM and M L , i.e.
 to (a)
 and (c), determine


compute the variances V ar M OM and V ar M L . Which estimator is the more suitable for the
estimation of ? n
(f) Show that

Yi is a sufficient statistic for the estimation of .

i=1

(g) Determine the Cramer-Rao bound of : CRB () .

(h) From the results established in (d), (e) and (g), are M OM and M L efficient estimators ?

3 MIMO communication system

We will study a MIMO digital transmission scheme. The Multiple Input (MI) into the propagation
channel is done with NT transmitting antennas and the Multiple Output (MO) is performed with NR
receiving antennas :
3

In that scheme:
The unknown transmitted symbols s = (s0 s2 sNT 1 )T , are transmitted simultaneously by
NT transmitting antennas,
the propagation channel is linear and completely characterised by its transfer function (here the
Transfer matrix) HNR NT , supposed perfectly known (measured during a data aided identification procedure: pilot symbols, ...),


w noise vector (NR 1), AWGN (Additive White and Gaussian Noise) w N 0NR 1 , 2 INR NR
Consequently, the proposed observation model is
y = Hs + w

(4)

a) The linear system to solve is of the form y = Hs. Give the conditions on NT and NR according
to which this problem is exactly determined, overdetermined and underdetermined.
b) Give the condition on the range or the rank of y and H according which this problem is consistent.
A first approach to solve this problem will be a Least Square (LS) approximation solution. This
solution, named sLS , minimises the following cost function:
J = kHs wk2 = (y Hs)T (y Hs)

(5)

c) Find the LS solution, sLS , to equation (5).

Indications: Matrix and vector derivatives (from Matrix Cookbook)
yT Hs
s
sT HT Hs
s

H y
= s s
= HT y
= 2HT Hs

The second approach consists to establish the Maximum of Likelihood Estimator of the transmitted
symbols sM L .
d) As w is a multivariate Normal distribution, build the likelihood function L(y, s) = p(y|s) as a
function of NR , and ky Hsk2 = (y Hs)T (y Hs).
e) From this results, give the log-likelihood function L(y, s) = ln (L(y, s)).
f) Then derivate the maximum of likelihood estimator of the parameters of interest s: sM L
g) What is the name of the following matrix: H =
compute it.

HT H

1

HT , give an efficient method to