Bayesian detection of transient signals in colored noise

The problem of detecting transient signals in colored noise is addressed. The generalized likelihood ratio test fails to provide good performance, and as an alternative, a Bayesian approach is proposed. Its implementation is simplified by adopting an invariant transformation, and a sequential Monte Carlo sampling procedure is provided to compute multidimensional integrations. The simulation results demonstrate the ability of this approach to detect weak and fast decaying signals in colored noise.