Hypothesis testing by convex optimization
From MaRDI portal
Publication:6246785
DOI10.1214/15-EJS1054arXiv1311.6765WikidataQ57392872 ScholiaQ57392872MaRDI QIDQ6246785FDOQ6246785
Alexander Goldenshluger, Anatoli Juditsky, Arkadi Nemirovski
Publication date: 26 November 2013
Abstract: We discuss a general approach to handling "multiple hypotheses" testing in the case when a particular hypothesis states that the vector of parameters identifying the distribution of observations belongs to a convex compact set associated with the hypothesis. With our approach, this problem reduces to testing the hypotheses pairwise. Our central result is a test for a pair of hypotheses of the outlined type which, under appropriate assumptions, is provably nearly optimal. The test is yielded by a solution to a convex programming problem, so that our construction admits computationally efficient implementation. We further demonstrate that our assumptions are satisfied in several important and interesting applications. Finally, we show how our approach can be applied to a rather general detection problem encompassing several classical statistical settings such as detection of abrupt signal changes, cusp detection and multi-sensor detection.
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)
This page was built for publication: Hypothesis testing by convex optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6246785)
