Multi-level Bayes and MAP monotonicity testing

DOI10.3103/S1066530720010032zbMATH Open1476.62078arXiv1909.09517OpenAlexW3196562194MaRDI QIDQ2239313FDOQ2239313

Authors: Yanyan Li 

Publication date: 3 November 2021

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Abstract: In this paper, we develop Bayes and maximum a posteriori probability (MAP) approaches to monotonicity testing. In order to simplify this problem, we consider a simple white Gaussian noise model and with the help of the Haar transform we reduce it to the equivalent problem of testing positivity of the Haar coefficients. This approach permits, in particular, to understand links between monotonicity testing and sparse vectors detection, to construct new tests, and to prove their optimality without supplementary assumptions. The main idea in our construction of multi-level tests is based on some invariance properties of specific probability distributions. Along with Bayes and MAP tests, we construct also adaptive multi-level tests that are free from the prior information about the sizes of non-monotonicity segments of the function.

Full work available at URL: https://arxiv.org/abs/1909.09517

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zbMATH Keywords

stable distributionsHaar transformBayes and MAP testscritical signal-noise ratiomaximum a posteriori probability (MAP)multi-level hypothesis testingtype I and II error probabilities

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Signal detection and filtering (aspects of stochastic processes) (60G35) Minimax procedures in statistical decision theory (62C20) Order statistics; empirical distribution functions (62G30) Numerical methods for wavelets (65T60)

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Cited In (3)

• Title not available (Why is that?)
• MAP and Bayes tests in sparse vectors detection
• Nonparametric Bayesian testing for monotonicity

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