Second-Order Asymptotics of Sequential Hypothesis Testing

DOI10.1109/TIT.2020.3006014MaRDI QIDQ5138886zbMATH OpenOpenAlexFDO

Authors Yonglong Li, Vincent Y. F. Tan

Publication date 4 December 2020

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

Full work available at URL https://arxiv.org/abs/2001.04598

zbMATH Keywords

second-order asymptotics sequential binary hypothesis testing problem

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10)

Abstract: We consider the classical sequential binary hypothesis testing problem in which there are two hypotheses governed respectively by distributions

P_{0}

and

P_{1}

and we would like to decide which hypothesis is true using a sequential test. It is known from the work of Wald and Wolfowitz that as the expectation of the length of the test grows, the optimal type-I and type-II error exponents approach the relative entropies

D (P_{1} | P_{0})

and

D (P_{0} | P_{1})

. We refine this result by considering the optimal backoff---or second-order asymptotics---from the corner point of the achievable exponent region

(D (P_{1} | P_{0}), D (P_{0} | P_{1}))

under two different constraints on the length of the test (or the sample size). First, we consider a probabilistic constraint in which the probability that the length of test exceeds a prescribed integer

n

is less than a certain threshold

0 < v a r e p s i l o n < 1

. Second, the expectation of the sample size is bounded by

n

. In both cases, and under mild conditions, the second-order asymptotics is characterized exactly. Numerical examples are provided to illustrate our results.

Cited in

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