Hypothesis testing for signal detection problem and large deviations

Authors
Citation
T. Chiyonobu, Hypothesis testing for signal detection problem and large deviations, NAG MATH J, 162, 2001, pp. 187-203
Citations number
8
Categorie Soggetti
Mathematics
Journal title
NAGOYA MATHEMATICAL JOURNAL
ISSN journal
00277630 → ACNP
Volume
162
Year of publication
2001
Pages
187 - 203
Database
ISI
SICI code
0027-7630(200106)162:<187:HTFSDP>2.0.ZU;2-D
Abstract
We consider a signal detection problem for the continuous-time stationary d iffusion 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 d etection tends to zero or one exponentially fast, depending on the fixed ex ponent of the decay of the error probability of the first kind, as the obse rvation time goes to infinity.