Hypothesis testing via affine detectors

DOI10.1214/16-EJS1170zbMATH Open1345.62077arXiv1604.02576OpenAlexW3104161870WikidataQ57392868 ScholiaQ57392868MaRDI QIDQ309575FDOQ309575

Anatoli Juditsky, Arkadi Nemirovski

Publication date: 7 September 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In this paper, we further develop the approach, originating in [GJN], to "computation-friendly" hypothesis testing via Convex Programming. Most of the existing results on hypothesis testing aim to quantify in a closed analytic form separation between sets of distributions allowing for reliable decision in precisely stated observation models. In contrast to this descriptive (and highly instructive) traditional framework, the approach we promote here can be qualified as operational -- the testing routines and their risks are yielded by an efficient computation. All we know in advance is that, under favorable circumstances, specified in [GJN], the risk of such test, whether high or low, is provably near-optimal under the circumstances. As a compensation for the lack of "explanatory power," this approach is applicable to a much wider family of observation schemes and hypotheses to be tested than those where "closed form descriptive analysis" is possible. In the present paper our primary emphasis is on computation: we make a step further in extending the principal tool developed in the cited paper -- testing routines based on affine detectors -- to a large variety of testing problems. The price of this development is the loss of blanket near-optimality of the proposed procedures (though it is still preserved in the observation schemes studied in [GJN], which now become particular cases of the general setting considered here). [GJN]: Goldenshluger, A., Juditsky, A., Nemirovski, A. "Hypothesis testing by convex optimization," Electronic Journal of Statistics 9(2), 2015

Full work available at URL: https://arxiv.org/abs/1604.02576

zbMATH Keywords

hypothesis testingnonparametric testingcomposite hypothesis testingstatistical applications of convex optimization

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10) Convex programming (90C25) Markov processes: hypothesis testing (62M02) Minimax procedures in statistical decision theory (62C20)

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Cited In (4)

• Hypothesis testing via Euclidean separation
• Change detection via affine and quadratic detectors
• Estimating linear and quadratic forms via indirect observations
• Aggregating estimates by convex optimization

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