Sharp local minimax rates for goodness-of-fit testing in multivariate binomial and Poisson families and in multinomials
Summary: We consider the identity testing problem -- or goodness-of-fit testing problem -- in multivariate binomial families, multivariate Poisson families and multinomial distributions. Given a known distribution \(p\) and \(n\) i.i.d. samples drawn from an unknown distribution \(q\), we investigate how large \(\rho > 0\) should be to distinguish, with high probability, the case \(p = q\) from the case \(d (p, q) \geq \rho\), where \(d\) denotes a specific distance over probability distributions. We answer this question in the case of a family of different distances: \(d (p, q) = {\parallel} p - q {\parallel}_t\) for \(t \in [1, 2]\), where \({\parallel} \cdot {\parallel}_t\) is the entrywise \({\ell}_t\) norm. Besides being locally minimax-optimal -- i.e. characterizing the detection threshold in dependence of the known matrix \(p\) -- our tests have simple expressions and are easily implementable.
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