Optimal simultaneous detection and estimation under a false alarm constraint

This paper addresses the problem of finite sample simultaneous detection and estimation which arises when estimation of signal parameters is desired but signal presence is uncertain. In general, a joint detection and estimation algorithm cannot simultaneously achieve optimal detection and optimal estimation performance. We develop a multihypothesis testing framework for studying the tradeoffs between detection and parameter estimation (classification) for a finite discrete parameter set. Our multihypothesis testing problem is based on the worst case detection and worst case classification error probabilities of the class of joint detection and classification algorithms which are subject to a false alarm constraint. This framework leads to the evaluation of greatest lower bounds on the worst case decision error probabilities and a construction of decision rules which achieve these lower bounds. For illustration, we apply these methods to signal detection, order selection, and signal classification for a multicomponent signal in noise model. For two or fewer signals, an SNR of 3 dB and signal space dimension of N=10 numerical results are obtained which establish the existence of fundamental tradeoffs between three performance criteria: probability of signal detection, probability of correct order selection, and probability of correct classification. Furthermore, based on numerical performance comparisons between our optimal decision rule and other suboptimal penalty function methods, we observe that Rissanen´s (1978) order selection penalty method is nearly min-max optimal in some nonasymptotic regimes