Testing of multialternative hypothesis under a priori uncertainty

MaRDI QIDQ1179609zbMATH OpenFDO

Authors V. G. Repin, V. P. Tartakovskij, A. A. Slepokurov

Publication date 26 June 1992

Published in Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

average riskBayes riskinequalitiesleast favorable prior distributionsmultialternative hypothesespolyhedrarandomized decision procedures

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20)

Review text

A statistical decision problem with finite sets of parameters and decisions is considered. It is assumed that prior distributions belong to a given subset of distributions on the parameter set. Randomized decision procedures, which yield a minimax value to the deviation of average risk from Bayes risk for a given prior distribution, are considered as optimal. Conditions of optimality for the decision procedure and the least favorable prior distributions are given for this problem. A special case when the set of prior distributions is a polyhedron is investigated. In this case the conditions of optimality are transformed to a finite set of simultaneous equations and inequalities. Some examples of application problems and their solutions are given.

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