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The detection of a vanishingly small, known signal in multi-variate noise is considered. Efficacy is used as a criterion of detector performance, and the locally optimal detector (LOD) for multivariate noise is derived. It is shown that this is a generalization of the well-known LOD for independent, identically distributed (i.i.d.) noise. Several characterizations of multivariate noise are used as examples; these include specific examples and some general methods of density generation. In particular, the class of multivariate densities generated by a zero-memory nonlinear transformation of a correlated Gaussian source is discussed in some detail. The detector structure is derived and practical aspects of obtaining detector subsystems are considered. Through the use of Monte Carlo simulations, the performance of this system if compared to that of the matched filter and of the i.i.d. LOD. Finally, the class of multivariate densities generated by a linear transformation of an i.i.d, noise source is described, and its LOD is shown to be a form frequently suggested to deal with multivariate, non-Gaussian noise: a linear filter followed by a memoryless nonlinearity and a correlator.