• DocumentCode
    773247
  • Title

    On the relation between filter maps and correction factors in likelihood ratios

  • Author

    Mazumdar, Ravi R. ; Bagchi, Arunabha

  • Author_Institution
    INRS-Telecommun., Quebec Univ., Ile des Soeurs, Que., Canada
  • Volume
    41
  • Issue
    3
  • fYear
    1995
  • fDate
    5/1/1995 12:00:00 AM
  • Firstpage
    833
  • Lastpage
    836
  • Abstract
    The robust form of the likelihood ratio for a signal in the presence of white noise has an additional term in the exponent called the correction factor which corresponds to the trace of the conditional covariance of the signal given the observations. The authors show that this correction term is nothing but the trace of the symmetrized Frechet derivative of the nonlinear filter map and hence the likelihood ratio can be completely represented in terms of the observations and the filter map
  • Keywords
    covariance analysis; nonlinear filters; random processes; signal processing; white noise; conditional covariance; correction factors; filter maps; likelihood ratios; nonlinear filter map; robust form; signal; symmetrized Frechet derivative; white noise; Convergence; Data analysis; Filtering; Filtration; Noise robustness; Nonlinear filters; Probability density function; Recursive estimation; Statistical analysis; White noise;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/18.382037
  • Filename
    382037