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The Generalized Likelihood Ratio Test

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May 4, 2013
14:07

There is no universally optimal test strategy for composite hypotheses (unknown parameters in the pdfs). The generalized likelihood ratio test (GLRT) is a likelihood ratio in which the unknown parameters are replaced by their maximum likelihood estimates. Example of the GLRT for detecting a signal of known shape but unknown amplitude in noise of unknown variance.

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The Generalized Likelihood Ratio Test | NatokHD