TY - GEN

T1 - Neyman-Pearson detection of Gauss-Markov signals in noise

T2 - 2005 IEEE International Symposium on Information Theory, ISIT 05

AU - Sung, Youngchul

AU - Tong, Lang

AU - Poor, H. Vincent

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=33749446213&partnerID=8YFLogxK

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U2 - 10.1109/ISIT.2005.1523608

DO - 10.1109/ISIT.2005.1523608

M3 - Conference contribution

AN - SCOPUS:33749446213

SN - 0780391519

SN - 9780780391512

T3 - IEEE International Symposium on Information Theory - Proceedings

SP - 1568

EP - 1572

BT - Proceedings of the 2005 IEEE International Symposium on Information Theory, ISIT 05

Y2 - 4 September 2005 through 9 September 2005

ER -