Minimax Robust Hypothesis Testing

DOI10.1109/TIT.2017.2693198MaRDI QIDQ4589394zbMATH OpenOpenAlexFDO

Authors Gökhan Gül, Abdelhak M. Zoubir

Publication date 10 November 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.00647

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Minimax problems in mathematical programming (90C47)

Abstract: The minimax robust hypothesis testing problem for the case where the nominal probability distributions are subject to both modeling errors and outliers is studied in twofold. First, a robust hypothesis testing scheme based on a relative entropy distance is designed. This approach provides robustness with respect to modeling errors and is a generalization of a previous work proposed by Levy. Then, it is shown that this scheme can be combined with Huber's robust test through a composite uncertainty class, for which the existence of a saddle value condition is also proven. The composite version of the robust hypothesis testing scheme as well as the individual robust tests are extended to fixed sample size and sequential probability ratio tests. The composite model is shown to extend to robust estimation problems as well. Simulation results are provided to validate the proposed assertions.

Cited in

(7)

• Adversarially robust sequential hypothesis testing
• Distributionally robust optimization
• scientific article; zbMATH DE number 4043731 (Why is no real title available?)
• Minimax-Optimal Hypothesis Testing With Estimation-Dependent Costs
• A probabilistic diagnostic for Laplace approximations: introduction and experimentation
• Distributionally robust optimization and robust statistics
• Frameworks and results in distributionally robust optimization

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