Neyman-Pearson Detection of Gauss-Markov Signals in Noise Closed-Form Error Exponent and Pr.pdfVIP

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Neyman-Pearson Detection of Gauss-Markov Signals in Noise Closed-Form Error Exponent and Pr.pdf

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Neyman-Pearson Detection of Gauss-Markov Signals in Noise Closed-Form Error Exponent and Pr

a r X i v : c s / 0 5 0 6 0 2 8 v 2 [ c s .I T ] 4 J a n 2 0 0 6 TO APPEAR IN IEEE TRANS. ON INFORMATION THEORY, February 1, 2008 1 Neyman-Pearson Detection of Gauss-Markov Signals in Noise: Closed-Form Error Exponent and Properties Youngchul Sung, Lang Tong? , and H. Vincent Poor Abstract The performance of Neyman-Pearson detection of correlated random signals using noisy observations is considered. Using the large deviations principle, the performance is analyzed via the error exponent for the miss probability with a fixed false-alarm probability. Using the state-space structure of the signal and observation model, a closed-form expression for the error exponent is derived using the innovations approach, and the connection between the asymptotic behavior of the optimal detector and that of the Kalman filter is established. The properties of the error exponent are investigated for the scalar case. It is shown that the error exponent has distinct characteristics with respect to correlation strength: for signal-to-noise ratio (SNR) ≥ 1, the error exponent is monotonically decreasing as the correlation becomes strong while for SNR 1 there is an optimal correlation that maximizes the error exponent for a given SNR. Index Terms— Error exponent, Neyman-Pearson detection, Correlated signal, Gauss-Markov model, Autoregressive process. ?Corresponding author. Youngchul Sung is with Qualcomm Inc., San Diego, CA 92121, USA, E-mail: ysung@. Lang Tong is with the School of Electrical and Computer Engineering, Cornell University, Ithaca, NY 14853. Tel/Fax: (607) 255-3900/9072. Email: ltong@. H. Vincent Poor is with Department of Electrical Engineering, Princeton University, Princeton, NJ 08544. Email: poor@. This work was supported in part by the Multidisciplinary University Research Initiative (MURI) under the Office of Naval Research Contract N00014-00-1-0564. Prepared through collaborative participation in the Com- munications and Networks Consortium sponsored by the