TY - GEN
T1 - On minimax robust detection of stationary Gaussian signals in white Gaussian noise
AU - Zhang, Wenyi
AU - Poor, H. Vincent
PY - 2010
Y1 - 2010
N2 - The problem of detecting a wide-sense stationary Gaussian signal process embedded in white Gaussian noise, where the power spectral density of the signal process exhibits uncertainty, is investigated. The performance of minimax robust detection is characterized by the exponential decay rate of the miss probability under a Neyman-Pearson criterion with a fixed false alarm probability, as the length of the observation interval grows without bound. A dominance condition is identified for the uncertainty set of spectral density functions, and it is established that, under the dominance condition, the resulting minimax problem possesses a saddle point, which is achievable by the likelihood ratio tests matched to a so-called dominated power spectral density in the uncertainty set. No convexity condition on the uncertainty set is required to establish this result.
AB - The problem of detecting a wide-sense stationary Gaussian signal process embedded in white Gaussian noise, where the power spectral density of the signal process exhibits uncertainty, is investigated. The performance of minimax robust detection is characterized by the exponential decay rate of the miss probability under a Neyman-Pearson criterion with a fixed false alarm probability, as the length of the observation interval grows without bound. A dominance condition is identified for the uncertainty set of spectral density functions, and it is established that, under the dominance condition, the resulting minimax problem possesses a saddle point, which is achievable by the likelihood ratio tests matched to a so-called dominated power spectral density in the uncertainty set. No convexity condition on the uncertainty set is required to establish this result.
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U2 - 10.1109/ISIT.2010.5513375
DO - 10.1109/ISIT.2010.5513375
M3 - Conference contribution
AN - SCOPUS:77955680266
SN - 9781424469604
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 1628
EP - 1632
BT - 2010 IEEE International Symposium on Information Theory, ISIT 2010 - Proceedings
T2 - 2010 IEEE International Symposium on Information Theory, ISIT 2010
Y2 - 13 June 2010 through 18 June 2010
ER -