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

DOI10.1109/TIT.2006.871599MaRDI QIDQ3547679zbMATH OpenFDO

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)

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

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)

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.

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• Network theoretic analysis of maximum a posteriori detectors for optimal input detection
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