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Note on stability estimation in sequential hypothesis testing

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Gordienko E., Ruiz de Chávez J., García A.

Applicationes Mathematicae

2013

tom 40

nr 1

109-116

We introduce a quantitative measure Δ of stability in optimal sequential testing of two simple hypotheses about a density of observations: f=f₀ versus f=f₁. The index Δ represents an additional cost paid when a stopping rule optimal for the pair (f₀,f₁) is applied to test the hypothesis f=f₀ versus a "perturbed alternative" f=f̃₁. An upper bound for Δ is established in terms of the total variation distance between f₁(X)/f₀(X) and f̃₁(X)/f₀(X) with X∼f₀.

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1 Applicationes Mathematicae

1 García A.

1 Gordienko E.

1 Ruiz de Chávez J.

1 2013

Wyniki wyszukiwania

Note on stability estimation in sequential hypothesis testing