When is the generalized likelihood ratio test optimal?
O Zeitouni, J Ziv, N Merhav - IEEE Transactions on Information …, 1992 - ieeexplore.ieee.org
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 Neyman-Pearson 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 …
hypothesis testing problems, is investigated. Conditions for asymptotic optimality of the
GLRT in the Neyman-Pearson 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 …
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