Some remarks on Bayesian multiple hypothesis testing

DOI10.15672/HUJMS.826558zbMATH Open1499.62048arXiv2110.15783OpenAlexW3209477759MaRDI QIDQ5074249FDOQ5074249

Authors: H. Afşer 

Publication date: 9 May 2022

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Abstract: We consider Bayesian multiple hypothesis problem with independent and identically distributed observations. The classical, Sanov's theorem-based, analysis of the error probability allows one to characterize the best achievable error exponent. However, this analysis does not generalize to the case where the true distributions of the hypothesis are not exact or partially known via some nominal distributions. This problem has practical significance, because the nominal distributions may be quantized versions of the true distributions in a hardware implementation, or they may be estimates of the true distributions obtained from labeled training sequences as in statistical classification. In this paper, we develop a type-based analysis to investigate Bayesian multiple hypothesis testing problem. Our analysis allows one to explicitly calculate the error exponent of a given type and extends the classical analysis. As a generalization of the proposed method, we derive a robust test and obtain its error exponent for the case where the hypothesis distributions are not known but there exist nominal distribution that are close to true distributions in variational distance.

Full work available at URL: https://arxiv.org/abs/2110.15783

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zbMATH Keywords

Bayesian hypothesis testingstatistical classificationrobust hypothesis testingmethod of typesChernoff information

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

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• Testing Statistical Hypotheses
• Robust Statistics
• On Choosing and Bounding Probability Metrics
• A Robust Version of the Probability Ratio Test
• On the asymptotics of M-hypothesis Bayesian detection
• Asymptotically optimal classification for multiple tests with empirically observed statistics
• Asymptotic Geometry of Multiple Hypothesis Testing
• A note on robust hypothesis testing
• On Error Exponents in Hypothesis Testing
• Quantization of Prior Probabilities for Hypothesis Testing

Cited In (7)

• Model Selection and Multiple Testing - A Bayesian and Empirical Bayes Overview and some New Results
• A Bayesian False Discovery Rate for Multiple Testing
• On spike and slab empirical Bayes multiple testing
• Title not available (Why is that?)
• Hypothesis testing, information divergence and computational geometry
• On Error Exponents in Hypothesis Testing
• On the Bayesianity of Pereira-Stern tests

Uses Software

• ElemStatLearn

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