Multi-level Bayes and MAP monotonicity testing
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Publication:2239313
stable distributionsHaar transformBayes and MAP testscritical signal-noise ratiomaximum a posteriori probability (MAP)multi-level hypothesis testingtype I and II error probabilities
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)
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.
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- scientific article; zbMATH DE number 1301724
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