Abstract
This letter investigated the statistical properties of Kendall's tau (KT) under a specific contaminated Gaussian model (CGM) emulating impulsive noise frequently encountered in practice. The major contributions of this work include 1) deriving the closed-form expressions concerning the mean and variance of KT under the CGM; 2) establishing the analytic forms of false alarm and detection probabilities when applying KT to the problem of bi-channel random (Gaussian) signal detection. Monte Carlo simulations not only validated our theoretical findings, but also revealed the robustness of KT against impulsive noise (modeled by CGM) in the aspect of random signal detection.
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