Universal Outlier Hypothesis Testing
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Publication:2986276
DOI10.1109/TIT.2014.2317691zbMATH Open1360.62222arXiv1302.4776OpenAlexW2112142266MaRDI QIDQ2986276FDOQ2986276
Authors: Yun Li, Sirin Nitinawarat, Venugopal V. Veeravalli 
Publication date: 16 May 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: Outlier hypothesis testing is studied in a universal setting. Multiple sequences of observations are collected, a small subset of which are outliers. A sequence is considered an outlier if the observations in that sequence are distributed according to an ``outlier distribution, distinct from the ``typical distribution governing the observations in all the other sequences. Nothing is known about the outlier and typical distributions except that they are distinct and have full supports. The goal is to design a universal test to best discern the outlier sequence(s). It is shown that the generalized likelihood test is universally exponentially consistent under various settings. The achievable error exponent is also characterized. In the other settings, it is also shown that there cannot exist any universally exponentially consistent test.
Full work available at URL: https://arxiv.org/abs/1302.4776
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