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Hypothesis Testing for Signal Detection Problem and Large Deviations

Published online by Cambridge University Press:  22 January 2016

Taizo Chiyonobu
Taizo Chiyonobu*
Affiliation:
Grauduate School of Mathematics, Nagoya University, Nagoya, 464-8602, Japan
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Abstract

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We consider a signal detection problem for the continuous-time stationary diffusion processes. The optimal decision region is given by Neyman-Pearson’s lemma. We establish certain large deviation estimates, and with the help of it we show that the error probability of the second kind of the signal detection tends to zero or one exponentially fast, depending on the fixed exponent of the decay of the error probability of the first kind, as the observation time goes to infinity.

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 162 , June 2001 , pp. 187 - 203
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 2001

References

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