Detection of multiplicative noise in stationary random processes using second- and higher order statistics

This paper addresses the problem of detecting the presence of colored multiplicative noise, when the information process can be modeled as a parametric ARMA process. For the case of zero-mean multiplicative noise, a cumulant based suboptimal detector is studied. This detector tests the nullity of a specific cumulant slice. A second detector is developed when the multiplicative noise is nonzero mean. This detector consists of filtering the data by an estimated AR filter. Cumulants of the residual data are then shown to be well suited to the detection problem. Theoretical expressions for the asymptotic probability of detection are given. Simulation-derived finite-sample ROC curves are shown for different sets of model parameters