Universal sequential outlier hypothesis testing

DOI10.1080/07474946.2017.1360086MaRDI QIDQ4596532zbMATH OpenOpenAlexFDO

Authors Yun Li, Sirin Nitinawarat, Venugopal V. Veeravalli

Publication date 1 December 2017

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.7324

zbMATH Keywords

outlier detectionconsistencyanomaly detectionfraud detectionrepeated significance testdata-driven classificationexponential consistencygeneralized likelihood testmultihypothesis sequential probability ratio testnonparametric sequential testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10)

Abstract: Universal outlier hypothesis testing is studied in a sequential setting. Multiple observation sequences are collected, a small subset of which are outliers. A sequence is considered an outlier if the observations in that sequence are generated by an "outlier" distribution, distinct from a common "typical" distribution governing the majority of the sequences. Apart from being distinct, the outlier and typical distributions can be arbitrarily close. The goal is to design a universal test to best discern all the outlier sequences. A universal test with the flavor of the repeated significance test is proposed and its asymptotic performance is characterized under various universal settings. The proposed test is shown to be universally consistent. For the model with identical outliers, the test is shown to be asymptotically optimal universally when the number of outliers is the largest possible and with the typical distribution being known, and its asymptotic performance otherwise is also characterized. An extension of the findings to the model with multiple distinct outliers is also discussed. In all cases, it is shown that the asymptotic performance guarantees for the proposed test when neither the outlier nor typical distribution is known converge to those when the typical distribution is known.

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