Hypothesis testing via Euclidean separation

DOI10.1214/19-AIHP1022MaRDI QIDQ2227471zbMATH OpenOpenAlexWikidataFDO

Authors Vincent Guigues, Anatoli Juditsky, Arkadi Nemirovski

Publication date 15 February 2021

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.07196, https://projecteuclid.org/euclid.aihp/1593137314

zbMATH Keywords

composite hypothesis testinghypothesis testingnonparametric testingstatistical applications of convex optimization

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10) Convex programming (90C25)

Abstract: We discuss an "operational" approach to testing convex composite hypotheses when the underlying distributions are heavy-tailed. It relies upon Euclidean separation of convex sets and can be seen as an extension of the approach to testing by convex optimization developed in [8, 12]. In particular, we show how one can construct quasi-optimal testing procedures for families of distributions which are majorated, in a certain precise sense, by a sub-spherical symmetric one and study the relationship between tests based on Euclidean separation and "potential-based tests." We apply the promoted methodology in the problem of sequential detection and illustrate its practical implementation in an application to sequential detection of changes in the input of a dynamic system. [8] Goldenshluger, Alexander and Juditsky, Anatoli and Nemirovski, Arkadi, Hypothesis testing by convex optimization, Electronic Journal of Statistics,9 (2):1645-1712, 2015. [12] Juditsky, Anatoli and Nemirovski, Arkadi, Hypothesis testing via affine detectors, Electronic Journal of Statistics, 10:2204--2242, 2016.

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Cites work

• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Change detection via affine and quadratic detectors
• Discrimination of hypotheses for Gaussian measures, and a geometrical characterization of Gaussian distribution
• scientific article; zbMATH DE number 3651489 (Why is no real title available?)
• Hypothesis testing by convex optimization
• Hypothesis testing via affine detectors
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Multiscale testing of qualitative hypotheses
• Multivariate T-Distributions and Their Applications
• Nonparametric goodness-of-fit testing under Gaussian models
• On sequential hypotheses testing via convex optimization
• Testing Statistical Hypotheses

Cited in

(5)

• Minimax Euclidean separation rates for testing convex hypotheses in \(\mathbb{R}^{d}\)
• Hypothesis testing via affine detectors
• Hypothesis testing by convex optimization
• Estimation from indirect observations under stochastic uncertainty in observation matrix
• On sequential hypotheses testing via convex optimization

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Uses Software

• CVX
• Mosek

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