Robust Hypothesis Testing With a Relative Entropy Tolerance

DOI10.1109/TIT.2008.2008128MaRDI QIDQ4975705zbMATH OpenOpenAlexFDO

Authors Bernard C. Levy

Publication date 8 August 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0707.2926

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Measures of information, entropy (94A17)

Abstract: This paper considers the design of a minimax test for two hypotheses where the actual probability densities of the observations are located in neighborhoods obtained by placing a bound on the relative entropy between actual and nominal densities. The minimax problem admits a saddle point which is characterized. The robust test applies a nonlinear transformation which flattens the nominal likelihood ratio in the vicinity of one. Results are illustrated by considering the transmission of binary data in the presence of additive noise.

Cited in

(6)

• Adversarially robust sequential hypothesis testing
• Robust hypothesis testing for asymmetric nominal densities under a relative entropy tolerance
• Distributionally robust optimization
• Robust Least-Squares Estimation With a Relative Entropy Constraint
• A probabilistic diagnostic for Laplace approximations: introduction and experimentation
• Frameworks and results in distributionally robust optimization

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