Robust detection in nominally Laplace noise

The authors consider the robust detection of a known constant signal in additive, mutually independent and identically distributed noise which is nominally Laplace. Employing the classical saddlepoint methodology of Huber (1951), they specify the form of the robust detector and obtain closed form results which allow for the analysis of the performance of the robust detector. They show via examples that the robustness can entail a considerable cost in detector performance. In addition, they compare the performance of the robust detector to that of the Neyman-Pearson detector for examples where the noise is Laplace and also where the noise is least favorable for the given detector.<>