DocumentCode :
1525118
Title :
Error Exponents for Neyman-Pearson Detection of a Continuous-Time Gaussian Markov Process From Regular or Irregular Samples
Author :
Hachem, Walid ; Moulines, Eric ; Roueff, François
Author_Institution :
CNRS LTCI, Inst. Telecom/Telecom ParisTech (ENST), Paris, France
Volume :
57
Issue :
6
fYear :
2011
fDate :
6/1/2011 12:00:00 AM
Firstpage :
3899
Lastpage :
3914
Abstract :
This paper addresses the detection of a stochastic process in noise from a finite sample under various sampling schemes. We consider two hypotheses. The noise only hypothesis amounts to model the observations as a sample of a i.i.d. Gaussian random variables (noise only). The signal plus noise hypothesis models the observations as the samples of a continuous time stationary Gaussian process (the signal) taken at known but random time-instants and corrupted with an additive noise. Two binary tests are considered, depending on which assumptions is retained as the null hypothesis. Assuming that the signal is a linear combination of the solution of a multidimensional stochastic differential equation (SDE), it is shown that the minimum Type II error probability decreases exponentially in the number of samples when the False Alarm probability is fixed. This behavior is described by error exponents that are completely characterized. It turns out that they are related to the asymptotic behavior of the Kalman Filter in random stationary environment, which is studied in this paper. Finally, numerical illustrations of our claims are provided in the context of sensor networks.
Keywords :
Gaussian noise; Kalman filters; Markov processes; differential equations; error statistics; wireless sensor networks; Gaussian random variables; Kalman filter; Neyman-Pearson detection; continuous-time Gaussian Markov process; error exponents; error probability; false alarm probability; multidimensional stochastic differential equation; sensor networks; stochastic process; Covariance matrix; Equations; Kalman filters; Kernel; Markov processes; Mathematical model; Noise; Error exponents; Gaussian Markov processes; Kalman filter; Neyman-Pearson detection; Stein´s Lemma; stochastic differential equations;
fLanguage :
English
Journal_Title :
Information Theory, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9448
Type :
jour
DOI :
10.1109/TIT.2011.2133630
Filename :
5773028
Link To Document :
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