Objective Bayesian Approach for Binary Hypothesis Testing of Multivariate Gaussian Observations

This paper proposes an objective Bayesian detector for the binary hypothesis testing problem in which the observation vectors are IID and follow multivariate Gaussian distribution under both the null and alternative hypotheses. The mean vector and covariance matrix under each hypothesis are not known, they also do not have special structure other than the covariance matrices are partially ordered in the positive definite cone with their difference positive semi-definite. An example of such a problem is the detection of Gaussian random signal in Gaussian noise. Non-informative priors are imposed on the unknown parameters for computing the marginals and evaluating the Bayes factor test statistic, where the prior for the covariance matrix is applied to the Cholesky factorization of the precision matrix. For the null hypothesis, we propose conjugate priors for the unknowns. For the alternative hypothesis, we propose uniform prior on the mean vector, and a class of objective priors that encompasses the Jeffreys, Independence Jeffreys, Geisser and Cornfield, Haar Measure and Reference priors for the precision matrix. The proposed priors enable closed-form expressions for the marginals and lead to an objective Bayes factor having the posteriors mainly governed by the data. The proposed detector is analyzed for justifying the priors used, deriving the theoretical moments, and approximating the false alarm and detection probability densities by the shifted Gamma distributions. The developed detector exhibits improvement in detection performance over the energy detector (ED) and the generalized likelihood ratio test (GLRT).