On detecting a signal while estimating the spectrum of Gauss-Markov noise (Corresp.)

Simultaneous signal detection/parameter estimation is accomplished by decomposing the marginal likelihood ratio using Bayes´ rule. The technique is illustrated by solving the problem of detecting a known signal corrupted by, while estimating the spectral parameters of, stationary Gauss-Markov noise. Both the discrete- and continuous-time cases are treated.