DocumentCode :
1374449
Title :
On the Invariance, Coincidence, and Statistical Equivalence of the GLRT, Rao Test, and Wald Test
Author :
De Maio, Antonio ; Kay, Steven M. ; Farina, Alfonso
Author_Institution :
Dipt. di Ing. Biomed., Elettron. e delle Telecomun., Univ. degli Studi di Napoli Federico II, Naples, Italy
Volume :
58
Issue :
4
fYear :
2010
fDate :
4/1/2010 12:00:00 AM
Firstpage :
1967
Lastpage :
1979
Abstract :
Three common techniques to discriminate between alternatives in a binary hypothesis testing problem are: the generalized likelihood ratio test (GLRT), the Rao test, and the Wald test. In this paper, we investigate some characteristics of the corresponding decision statistics and provide their expressions for some problems of particular interest in statistical signal processing. First of all, we focus on the invariance of the Rao and Wald tests with respect to transformations leaving the testing problem unaltered. Then, we introduce necessary and sufficient conditions in order for their decision statistics to coincide with twice the logarithm of the GLRT statistic. Finally, we present some detection problems, usually encountered in practical signal processing applications, where the decision variables of the three quoted tests are equivalent, namely related by strictly monotonic transformations.
Keywords :
covariance analysis; invariance; signal detection; GLRT; Rao test; Wald test; binary hypothesis testing problem; coincidence; decision variables; generalized likelihood ratio test; invariance; monotonic transformations; statistical signal processing; Detection; GLRT; Rao test; Wald test; invariance;
fLanguage :
English
Journal_Title :
Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
1053-587X
Type :
jour
DOI :
10.1109/TSP.2009.2039728
Filename :
5371928
Link To Document :
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