  We study a simple decision problem on the scaling parameter in the
$\alpha$-Brownian bridge $X^{(\alpha)}$ on the interval $[0,1]$: given two
values $\alpha_0, \alpha_1 \geq 0$ with $\alpha_0 + \alpha_1 \geq 1$ and some
time $0 \leq T \leq 1$ we want to test $H_0: \alpha = \alpha_0$ vs. $H_1:
\alpha = \alpha_1$ based on the observation of $X^{(\alpha)}$ until time $T$.
The likelihood ratio can be written as a functional of a quadratic form
$\psi(X^{(\alpha)})$ of $X^{(\alpha)}$. In order to calculate the distribution
of $\psi(X^{(\alpha)})$ under the null hypothesis, we generalize the
Karhunen-Lo\`eve Theorem to positive finite measures on $[0,1]$ and compute the
Karhunen-Lo\`eve expansion of $X^{(\alpha)}$ under such a measure. Based on
this expansion, the distribution of $\psi(X^{(\alpha)})$ follows by Smirnov's
formula.
