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
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