On One Generalization of Chernov's Distance

DOI10.1137/S0040585X97976854MaRDI QIDQ4954355zbMATH OpenOpenAlexFDO

Authors N. P. Salikhov

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97976854

zbMATH Keywords

Bayesian decision ruleChernov distancedistinguishing between several simple hypothesesestimates of probabilities of errorsKullback - Leibler distancepolynomial scheme of trials

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Compound decision problems in statistical decision theory (62C25)

Review text

Consider a polynomial scheme of \(n\) independent trials with \(r\) outcomes having probabilities \(p_1, \ldots p_r\) (\(\sum p_i = 1\)), and say that the hypothesis \(H({\mathbf p}_t,n)\) is true when for the vector of probabilities \({\mathbf p}_t = (p_1, \ldots, p_r)\). Given a set of alternative hypotheses \(H({\mathbf p}_j,n)\), \({\mathbf p}_j = (p_{j,1}, \ldots, p_{j,r})\), \(1 \leq j \leq m\), and a rule of choice, based on an observation of outcomes of \(n\) trials, let \(\alpha_{t,n}\) be the probability of rejecting \(H({\mathbf p}_t,n)\). The author [Sov. Math., Dokl. 14, 345-349 (1973); translation from Dokl. Akad. Nauk SSSR 209, 54-57 (1973; Zbl 0307.62040)] has already established the existence of an optimal sequence of (univalent) Bayesian rules such that \[ (1)\qquad \lim_{n \to \infty} n^{-1} \ln \max_{1 \leq t \leq m} \alpha_{t,n} = -\rho, \] \(\rho\) being the minimum of the Chernov distances between \({\mathbf p}_i\), \({\mathbf p}_j\), \(1 \leq i,j \leq n\). This paper proposes a multivalent Bayesian decision rule where the choice of true \({\mathbf p}_t\), on an observation, is proposed in \(k \leq m - 1\) most plausible variants \({\mathbf p}_{i,1}, \ldots , {\mathbf p}_{i,k}\). Explicit and asymptotic (as \(n \to \infty\)) upper bounds for error probabilities of that rule are obtained. Extending (1), they contain at most \(C_{m-1}^k\) generalized Chernov distances.

Recommendations

• On the Asymptotic Optimality of the Bayesian Decision Rule in the Problem of Multiple Classification of Hypotheses
• Empirical Bayes with a changing prior
• scientific article; zbMATH DE number 817395
• Sequential testing of many simple hypotheses with independent observations
• Conditional Bayesian task of testing many hypotheses
• A note on small-sample maximum probability estimation

Cited in

(8)

• Alpha-distance -- a generalization of Chinese checker distance and taxicab distance
• Discriminating quantum states: the multiple Chernoff distance
• scientific article; zbMATH DE number 4201373 (Why is no real title available?)
• Optimal Sequences of Tests for Several Polynomial Schemes of Trials
• An asymptotic error bound for testing multiple quantum hypotheses
• Exponential error rates in multiple state discrimination on a quantum spin chain
• Hypothesis testing, information divergence and computational geometry
• On the optimal error exponents for classical and quantum antidistinguishability

This page was built for publication: On One Generalization of Chernov's Distance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4954355)