When is the generalized likelihood ratio test optimal?
نویسندگان
چکیده
The generalized likelihood ratio test (GLRT), which is commonly used in composite hypothesis testing problems, is investigated. Conditions for asymptotic optimality of the GLRT in the NeymanPearson sense are studied and discussed. First, a general necessary and sufficient condition is established, and then based on this, a sufficient condition, which is easier to verify, is derived. A counterexample, where the GLRT is not optimal, is provided as well. A conjecture is stated concerning the optimality of the GLRT for the class of finite-state sources.
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عنوان ژورنال:
- IEEE Trans. Information Theory
دوره 38 شماره
صفحات -
تاریخ انتشار 1992