Title :
On the relation between filter maps and correction factors in likelihood ratios
Author :
Mazumdar, Ravi R. ; Bagchi, Arunabha
Author_Institution :
INRS-Telecommun., Quebec Univ., Ile des Soeurs, Que., Canada
fDate :
5/1/1995 12:00:00 AM
Abstract :
The robust form of the likelihood ratio for a signal in the presence of white noise has an additional term in the exponent called the correction factor which corresponds to the trace of the conditional covariance of the signal given the observations. The authors show that this correction term is nothing but the trace of the symmetrized Frechet derivative of the nonlinear filter map and hence the likelihood ratio can be completely represented in terms of the observations and the filter map
Keywords :
covariance analysis; nonlinear filters; random processes; signal processing; white noise; conditional covariance; correction factors; filter maps; likelihood ratios; nonlinear filter map; robust form; signal; symmetrized Frechet derivative; white noise; Convergence; Data analysis; Filtering; Filtration; Noise robustness; Nonlinear filters; Probability density function; Recursive estimation; Statistical analysis; White noise;
Journal_Title :
Information Theory, IEEE Transactions on
