Neyman-pearson detection of gauss-Markov signals in noise: closed-form error exponentand properties

DOI10.1109/TIT.2006.871599zbMATH Open1298.94029arXivcs/0506028MaRDI QIDQ3547679FDOQ3547679

Authors: Youngchul Sung, Lang Tong, H. Vincent Poor 

Publication date: 21 December 2008

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: The performance of Neyman-Pearson detection of correlated stochastic signals using noisy observations is investigated via the error exponent for the miss probability with a fixed level. Using the state-space structure of the signal and observation model, a closed-form expression for the error exponent is derived, and the connection between the asymptotic behavior of the optimal detector and that of the Kalman filter is established. The properties of the error exponent are investigated for the scalar case. It is shown that the error exponent has distinct characteristics with respect to correlation strength: for signal-to-noise ratio (SNR) >1 the error exponent decreases monotonically as the correlation becomes stronger, whereas for SNR <1 there is an optimal correlation that maximizes the error exponent for a given SNR.

Full work available at URL: https://arxiv.org/abs/cs/0506028

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zbMATH Keywords

error exponentGauss-Markov modelAutoregressive processcorrelated signalNeyman-Pearson detection

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Detection theory in information and communication theory (94A13) Markov renewal processes, semi-Markov processes (60K15)

Cited In (2)

• Network theoretic analysis of maximum a posteriori detectors for optimal input detection
• On minimax detection of Gaussian stochastic sequences and Gaussian stationary signals

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