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Questions tagged [hypothesis-testing]

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3
votes
1answer
136 views

Detection of signal having gaussian noise with non zero mean and a covariance matrix using Neyman-Pearson Lemma(LRT)

Assume that we have a signal to be detected using the binary testing hypothesis. The received signal is distributed as follows. \begin{align} \mathcal H_0:& \ x = w\\[2ex] \mathcal H_1:& \ x ...
2
votes
1answer
98 views

Testing whether a process is a Wiener process

Ideally I would like links to code implementations (eg. Matlab ) or book references, but I would appreciate suggestions on various methods. We start with sampled process $X_{t}$. A straightforward ...
0
votes
1answer
36 views

Testing for changes in auto-covariance

I am working with uniformly-spaced time series data where I am interested in knowing whether there are changes in temporal auto-covariance. The mean can be assumed constant. Visually, there are no ...
2
votes
1answer
293 views

Detection of sine signals with random amplitudes

Problem statement: I am designing a NP detector for the following detection problem: $\mathcal H_{0}: x[n] = A_0\cos(2\pi f_0n) + w[n]$ $\mathcal H_{1}: x[n] = A_1\cos(2\pi f_0n) + w[n]$ where: $...