An Invariance property of the generalized likelihood ratio test

Author

Kay, Steven M. ; Gabriel, Joseph R.

Author_Institution

Dept. of Electr. Eng., Univ. of Rhode Island, Kingston, RI, USA

Volume

10

Issue

12

fYear

2003

Firstpage

352

Lastpage

355

Abstract

The generalized likelihood ratio test (GLRT) is invariant with respect to transformations for which the hypothesis testing problem itself is invariant. This result from the statistics literature is presented in the context of some simple signal models. This is an important property of the GLRT in light of its widespread use and the recent interest in invariant tests applied to signal processing applications. The GLRT is derived for some examples in which the uniformly most powerful invariant (UMPI) test does and does not exist, including one in which the UMPI test exists and is not given by the GLRT.

Keywords

invariance; maximum likelihood estimation; signal detection; signal processing; GLRT; UMPI test; generalized likelihood ratio test; hypothesis testing problem; invariance property; signal detection; signal models; signal processing; uniformly most powerful invariant test; Context modeling; Detectors; Maximum likelihood detection; Maximum likelihood estimation; Power engineering and energy; Signal processing; Statistical analysis; Statistics; Testing;

fLanguage

English

Journal_Title

Signal Processing Letters, IEEE

Publisher

ieee

ISSN

1070-9908

Type

jour

DOI

10.1109/LSP.2003.818865

Filename

1247829