LOCALLY OPTIMUM RANK DETECTION OF CORRELATED RANDOM SIGNALS IN ADDITIVE NOISE

Abstract

Nonparametric detection of a zero-mean random signal in additive noise is considered. The locally optimum detector based on signs and ranks of observations is derived, for good weak-signal detection performance under any specified noise probability density function. This detector is shown to have interesting similarities to the locally optimum detector for random signals. It may also be viewed as a generalization of the locally optimum rank detector for known signals. Examples of the test statistic of the detector are given for some specific noise probability density functions. Asymptotic and finite sample-size performance of the locally optimum rank detector is also considered.