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Likelihood ratios for signals in additive white noise

Likelihood ratios for signals in additive white noise We present a formula for likelihood functionals for signals in which the corrupting noise is modelled as white noise rather than the usual Wiener process. The main difference is the appearance of an additional term corresponding to the conditional mean square error. By way of one application we consider the ‘order-disorder’ problem of Shiryayev. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Likelihood ratios for signals in additive white noise

Balakrishnan, A.
Applied Mathematics and Optimization , Volume 3 (4) – Mar 26, 2005
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References (8)

Publisher
Springer Journals
Copyright
Copyright © 1977 by Springer-Verlag New York Inc
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/BF01448185
Publisher site
See Article on Publisher Site

Abstract

We present a formula for likelihood functionals for signals in which the corrupting noise is modelled as white noise rather than the usual Wiener process. The main difference is the appearance of an additional term corresponding to the conditional mean square error. By way of one application we consider the ‘order-disorder’ problem of Shiryayev.

Journal

Applied Mathematics and Optimization – Springer Journals

Published: Mar 26, 2005

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