Error exponents for Neyman-Pearson detection of a continuous-time Gaussian Markov process from noisy irregular samples

Details Error exponents for Neyman-Pearson detection of a continuous-time Gaussian Markov process from noisy irregular samples Error exponents for Neyman-Pearson detection of a continuous-time Gaussian Markov process from noisy irregular samples

2009-09-24

arxiv.org/abs/0909.4484v1

Computer Science

Information Theory

Scientific paper

This paper addresses the detection of a stochastic process in noise from irregular samples. We consider two hypotheses. The \emph{noise only} hypothesis amounts to model the observations as a sample of a i.i.d. Gaussian random variables (noise only). The \emph{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 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 \emph{error exponents} that are completely characterized. It turns out that they are related with 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.

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