E1 244: Detection and Estimation Theory

Logistics

Instructor: Chandra R. Murthy (cmurthy at ece)
Class hours: MWF 11am-12:30pm, Room L5 in the Central Lecture Hall Complex (near the GATE office).
TA: Bharath B. N. and Nirmal Shende

Textbooks:
1. H. V. Poor, An Introduction to Signal Detection and Estimation, 2nd Ed., Springer-Verlag, 1994.
2. H. L. Van Trees, Detection, Estimation and Modulation Theory, Parts 1 and 2, John Wiley Inter-Science.
3. E. L. Lehman, Testing Statistical Hypothesis, John Wiley, 1986.
4. M. D. Srinath, P. K. Rajasekaran and R. Vishwanathan, An Introduction to Statistical Signal Processing with Applications, Prentice-Hall, 1996.
5. To review probability: A. Papoulis, Probability, random variables, and stochastic processes, McGraw-Hill International Edition.

Prerequisites: Random processes (E2-202 or equivalent).

 

Syllabus:

S. No. Topic Num. Lectures
1 Estimation theory: Bayesian, MMSE and MAP estimation 2
2 Fischer-Neyman factorization theorem, Rao-Blackwell theorem 2
3 Maximum-Likelihood estimation 2
4 Exponential families and the Cramer-Rao Bound 2
5 Consistency, efficiency and asymptotics 2
6 Kalman filtering 2
7 Linear estimation of signals, Weiner filtering 2
8 Bayesian, Neyman-Pearson & Minimax detection 2
9 Composite hypothesis testing, Generalized LRT 2
10 Sequential and distributed detection 4
11 Performance analysis 2
12 Signal detection in continuous time, KL theorem 2
13 Detection in Gaussian noise 2
  Total 28

 

Grading

Midterm 1: Feb. 11, 2011, in class: 25%. For solutions, click here.
Midterm 2: Mar. 14, 2011, in class: 25%. For solutions, click here.
Final: Apr. 26, 2011, 9am – 12pm: 50%

 

Homeworks

Homeworks are posted here.

 

Announcements

  • Last year’s website here
  • The first class will be held on Jan 03, 2011 at L5CL
  • The final exam schedule has been changed to Tuesday, Apr. 26, 2011, from 9am – 12pm.
  • For information on the Mini-Project, click here
  • CFAR Detection: click here, here, here and here,.