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

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  • Error Exponent
  • Neyman-Pearson Detection
  • Gauss-Markov Signals
  • Correlated Signals
  • Threshold Behavior
  • Mathematics


The performance of Neyman-Pearson detection of correlated stochastic signals using noisy observations is investigated via the error exponent for the miss probability with a fixed level. Using the statespace structure of the signal and observation model, a closed-form expression for the error exponent is derived, 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 decreases monotonically as the correlation becomes stronger, whereas for SNR < 1 there is an optimal correlation that maximizes the error exponent for a given SNR.

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