On minimax detection of Gaussian stochastic sequences with imprecisely known means and covariance matrices

DOI10.1134/S0032946022030061MaRDI QIDQ6173463zbMATH OpenOpenAlexFDO

Authors M. V. Burnashev

Publication date 21 July 2023

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2302.13254

zbMATH Keywords

error exponentfirst-kind error probabilityminimax hypothesis testingNeyman-Pearson problemsecond-kind error probabilityStein's lemma

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Parametric hypothesis testing (62F03) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We consider the problem of detecting (testing) Gaussian stochastic sequences (signals) with imprecisely known means and covariance matrices. The alternative is independent identically distributed zero-mean Gaussian random variables with unit variances. For a given false alarm (1st-kind error) probability, the quality of minimax detection is given by the best miss probability (2nd-kind error probability) exponent over a growing observation horizon. We explore the maximal set of means and covariance matrices (composite hypothesis) such that its minimax testing can be replaced with testing a single particular pair consisting of a mean and a covariance matrix (simple hypothesis) without degrading the detection exponent. We completely describe this maximal set.

Recommendations

• On detection of Gaussian stochastic sequences
• scientific article; zbMATH DE number 3251927
• scientific article; zbMATH DE number 1064092
• Adaptive detection of a signal of growing dimension. I
• Adaptive detection of a signal of growing dimension. II

Cites work

• scientific article; zbMATH DE number 3143969 (Why is no real title available?)
• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 3651489 (Why is no real title available?)
• scientific article; zbMATH DE number 700090 (Why is no real title available?)
• scientific article; zbMATH DE number 3200675 (Why is no real title available?)
• scientific article; zbMATH DE number 3061365 (Why is no real title available?)
• Matrix Analysis
• On detection of Gaussian stochastic sequences
• On minimax detection of Gaussian stochastic sequences and Gaussian stationary signals
• On Minimax Robust Detection of Stationary Gaussian Signals in White Gaussian Noise
• On Stein's lemma in hypotheses testing in general non-asymptotic case

Cited in

(2)

• On detection of Gaussian stochastic sequences
• Minimax CFAR detection in additive Gaussian noise of unknown covariance (Corresp.)

This page was built for publication: On minimax detection of Gaussian stochastic sequences with imprecisely known means and covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6173463)