Minimax optimal sequential hypothesis tests for markov processes

Michael Fauss, Abdelhak M. Zoubir, H. Vincent Poor

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

Under mild Markov assumptions, sufficient conditions for strict minimax optimality of sequential tests for multiple hypotheses under distributional uncertainty are derived. First, the design of optimal sequential tests for simple hypotheses is revisited, and it is shown that the partial derivatives of the corresponding cost function are closely related to the performance metrics of the underlying sequential test. Second, an implicit characterization of the least favorable distributions for a given testing policy is stated. By combining the results on optimal sequential tests and least favorable distributions, sufficient conditions for a sequential test to be minimax optimal under general distributional uncertainties are obtained. The cost function of the minimax optimal test is further identified as a generalized f -dissimilarity and the least favorable distributions as those that are most similar with respect to this dissimilarity. Numerical examples for minimax optimal sequential tests under different uncertainties illustrate the theoretical results.

Original languageEnglish (US)
Pages (from-to)2599-2621
Number of pages23
JournalAnnals of Statistics
Volume48
Issue number5
DOIs
StatePublished - 2020

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Distributional uncertainty
  • Minimax procedures
  • Multiple hypothesis testing
  • Robust hypothesis testing
  • Sequential analysis

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