1 / 17

Chapter 6 BEST Linear Unbiased Estimator (BLUE)

Chapter 6 BEST Linear Unbiased Estimator (BLUE). Shin won jae. Contents. 1. Introduction 2. Best Linear Unbiased Estimate Definition Finding in scalar case Finding BLUE for Scalar Linear Observation Applicability of BLUE Vector Parameter Case 3. TOA Measurement Model

ted
Download Presentation

Chapter 6 BEST Linear Unbiased Estimator (BLUE)

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Chapter 6BEST Linear Unbiased Estimator (BLUE) Shin won jae

  2. Contents • 1. Introduction • 2. Best Linear Unbiased Estimate • Definition • Finding in scalar case • Finding BLUE for Scalar Linear Observation • Applicability of BLUE • Vector Parameter Case • 3. TOA Measurement Model • Linearization of TOA Model • TOA vs. TDOA • Conversion to TDOA Model • Apply BLUE to TDOA linearized Model • Apply TDOA Result to Simple Geometry

  3. Introduction • Motivation for BLUE • Except for Linear Model case, the optimal MVU estimator might: 1. not even exist 2. be difficult or impossible to find Resort to a sub-optimal estimate • BLUE is one such sub-optimal estimate • Idea for BLUE • 1. Restrict estimate to be linear in data x • 2. Restrict estimate to be unbiased • 3. Find the best one (i.e. with minimum variance) • Advantage of BLUE: Needs only 1st and 2nd moments of PDF • Disadvantage of BLUE: • 1. Sub-optimal • 2. Sometimes totally inappropriate

  4. Definition of BLUE (scalar case) • Observed data: • PDF: depends on unknown • BLUE constrained to be linear in data: • Choose a’s to give: 1. unbiased estimator 2. then minimize variance

  5. Finding the BLUE (Scalar Case) • 1. Constrain to be linear: • 2. Constrain to be Unbiased: • Q: When can we meet both of these constraints? • A: Only for certain observation models (e.g., linear observations)

  6. Finding the BLUE for Scalar Linear Observation • Consider scalar-parameter Linear observation: • For the unbiased condition we need: • Now … given that these constraints are met… We need to minimize the variance • Given that C is the covariance matrix of x we have:

  7. Finding the BLUE for Scalar Linear Observation • Goal: minimize subject to Constrained optimization • Appendix 6A: Use Lagrangian Multipliers Minimize Set:

  8. Applicability of BLUE • We just derived the BLUE under the following: 1. Linear observations but with no constraint on the noise PDF 2. No knowledge of the noise PDF other than its mean and cov What does this tell us???? BLUE is applicable to Linear observations But... Noise need not be Gaussian!!! (as was assumed in CH.4 Linear Model) And all we need are the 1st and 2nd moment of the PDF!!! But... We’ll see in the Example that we can often linearize a nonlinear model!!!

  9. Vector Parameter Case: Gauss-Markov Theorem • Gauss-Markov Theorem: • If data can be modeled as having linear observations in noise: • Then the BLUE is : and its covariance is: Known Mean & Cov (PDF is otherwise arbitrary & inknown) Known Matrix Note: If noise is Gaussian then BLUE is MVUE

  10. Ex. 6.3 TDOA-Based Emitter Location • Assume that the i-th RX can measure its TOA: • Then… from the set of TOAs… compute TDOAs • Then… from the set of TDOAs… estimate location We won’t worry about “how” they do that. Also... there are TDOA systems that never actually estimate TOAs!

  11. TOA Measurement Model • Assume measurements of TOAs at N receivers (only 3 shown above): • TOA measurement model: : Time the signal emitted : Range from Tx to : Speed of Propagation (for EM: ) There are measurement errors Measurement Noise : zero-mean, variance , independent (bot PDF unknown) (variance determined from estimator used to estimate Nonlinear Model

  12. Linearization of TOA Model • So… we linearize the model so we can apply BLUE: • Assume some rough estimate is available • Now use truncated Taylor series to linearize know estimate know estimate Three unknown parameters to estimate:

  13. TOA Model vs. TDOA Model • Two options now: • 1. Use TOA to estimate 3 parameters: • 2. Use TDOA to estimate 2 parameters: • Generally the fewer parameters the better… everything else being the same. • But… here “everything else” is not the same: Option 1&2 have different noise models (Option 1 has independent noise) (Option 2has correlated noise) • In practice… we’d explore both options and see which is best

  14. Conversion to TDOA Model N-1 TDOA rather than N TOAs

  15. Apply Blue to TDOA Linearized Model • Things we can now do: 1. Explore estimation error cov for different Tx/Rx geometries Plot error ellopses 2. Analytically explore simple geometries to find trends See next chart (more details in book)

  16. Apply TDOA Result to Simple Geometry

  17. Apply TDOA Result to Simple Geometry

More Related