Title :
Optimal linear-quadratic systems for detection and estimation
Author :
Picinbono, Bernard ; Devaut, P.
Author_Institution :
Lab. des Signaux et Syst., Gif-sur-Yvette, France
fDate :
3/1/1988 12:00:00 AM
Abstract :
The problem of linear-quadratic systems for detection has long been solved by assuming the deflection criterion and Gaussian noise. It is shown here that the Gaussian assumption can be removed, and a complete solution is presented for an arbitrary probability distribution with finite fourth-order moments. The optimal solution can always be obtained by solving a linear system of equations. Some properties of the optimal systems are developed for particular examples of nonGaussian noise. It is shown that there is a strong relationship between linear-quadratic optimal detection and optimal estimation, which extends results known for the purely linear case
Keywords :
estimation theory; probability; signal detection; arbitrary probability distribution; finite fourth-order moments; linear-quadratic systems; nonGaussian noise; optimal detection; optimal estimation; optimal solution; signal detection; Covariance matrix; Equations; Gaussian noise; Linear systems; Matched filters; Probability distribution; Signal detection; Symmetric matrices; System testing; Vectors;
Journal_Title :
Information Theory, IEEE Transactions on
