Premium
ESTIMATION OF REALIZED SIGNAL TO NOISE RATIO FOR A PAIR OF MULTIVARIATE SIGNALS
Author(s) -
Khattree Ravindra,
Gupta Rameshwar D.
Publication year - 1990
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1990.tb01017.x
Subject(s) - mathematics , estimator , statistics , noise (video) , matrix (chemical analysis) , noise power , dimension (graph theory) , signal to noise ratio (imaging) , signal (programming language) , algorithm , power (physics) , computer science , combinatorics , physics , artificial intelligence , materials science , composite material , quantum mechanics , image (mathematics) , programming language
Summary Consider the case of classifying an incoming message as one of two known p ‐dimension signals or as a pure noise. Let the noise co‐variance matrix (assumed to be same in all the three cases) be unknown. We consider the problem of estimation of “realized signal to noise ratio matrix”, which is an index of discriminatory power, under various loss functions. Optimum estimators are obtained under these loss functions. Finally, an attempt is made to provide a lower confidence bound for the realized signal to noise ratio matrix. In the process, the probability distribution of the smaller eigenvalue of a 2 × 2 confluent hypergeometric random matrix is obtained.