Linear Discriminant Functions for Stationary Time Series
平稳时间序列的线性判别函数
Certain spectral approximations are applied to the problem of discriminating between two normal processes by linear filtering. Limiting values for the (1) Kullback-Leibler discrimination information rate, (2) J-divergence rate and (3) detection probability are expressed in terms of the spectral densities of the two populations and the Fourier-Stieltjes transform of the mean difference between them. Spectral approximations to (1), (2) and (3), convenient for computing, are…