The Design of a Sequential Test for the Detection of Know Signal in Normal Non-White Noise

摘要

This paper considers the design of a sequential test for signals in correlated normal noise. Both discrete and continuous time parameters are considered. The noise is assumed to be stationary in the continuous case, but not in the discrete case. Through the transformation of random variables, it is shown that the test of given strength which minimizes expected test length is Wald's sequential probability (likelihood) ratio test. (Author)