On One Problem in Multichannel Signal Detection

Abstract: We consider a statistical problem of detection of a signal with unknown energy in a multi-channel system, observed in a Gaussian noise. We assume that the signal can appear in the $k$-th channel with a known small prior probability $\bar{\pi}_k$. Using noisy observations from all channels we would like to detect whether the signal is presented in one of the channels or we observe pure noise. In our work we describe and compare statistical properties of maximum posterior probability test and optimal Bayes test. In particular, for these tests we obtain limiting distributions of test statistics and define sets of their non-detectable signals.