Applied Mathematics and Optimization

, Volume 3, Issue 4, pp 341–356 | Cite as

Likelihood ratios for signals in additive white noise

  • A. V. Balakrishnan
Article
Received:

Abstract

We present a formula for likelihood functionals for signals in which the corrupting noise is modelled as white noise rather than the usual Wiener process. The main difference is the appearance of an additional term corresponding to the conditional mean square error. By way of one application we consider the ‘order-disorder’ problem of Shiryayev.

Keywords

Likelihood Ratio White Noise System Theory Mathematical Method Additional Term 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Springer-Verlag New York Inc 1977

Authors and Affiliations

  • A. V. Balakrishnan
    • 1
  1. 1.Department of System ScienceUCLALos AngelesUSA

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