Likelihood ratios for Gaussian processes

Abstract

We give a comprehensive discussion of the structure of the likelihood ratio (LR) for discrimination between two Gaussian processes, one of which is white. Several more general problems can be reduced, usually by differentiation, to this form. We shall show that nonsingular detection problems of this form can always be interpreted as problems of the apparently more special "signal-in-noise" type, where the cross-covariance function of the signal and noise must be of a special "one-sided" form. Moreover, the LR for this equivalent problem can be written in the same form as that for known signals in white Gaussian noise, with the causal estimate of the signal process replacing the known signal. This single formula will be shown to be equivalent to a variety of other formulas, including all those previously known. The proofs are based on a resolvent identity and on a representation theorem for second-order processes, both of which have other applications. This paper also contains a discussion of the various stochastic integrals and infinite determinants that arise in Gaussian detection problems