On effective computation of the logarithm of the Likelihood Ratio Function for Gaussian signals

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Abstract

In this paper we consider a new way to calculate the logarithm of the Likelihood Ratio Function for Gaussian signals. This approach is based on the standard Kalman filter. Its efficiency is substantiated theoretically, and numerical examples show how such a method works in practice. © Springer-Verlag Berlin Heidelberg 2003.

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Kulikova, M. V. (2003). On effective computation of the logarithm of the Likelihood Ratio Function for Gaussian signals. Lecture Notes in Computer Science (Including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 2658, 427–435. https://doi.org/10.1007/3-540-44862-4_45

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