Robust Sequential Testing
Quang, Pham Xuan
Ann. Statist., Tome 13 (1985) no. 1, p. 638-649 / Harvested from Project Euclid
This paper considers the asymptotic minimax property of the sequential probability ratio test (SPRT) when the given distributions $P_{\pm \varepsilon}$ contain a small amount of contamination. Let $\mathscr{P}_{\pm \varepsilon}$ be the neighborhoods of $P_{\pm \varepsilon}.$ Suppose that $P_\varepsilon$ and $P_{-\varepsilon}$ approach each other as $\varepsilon \downarrow 0$ and that $\mathscr{P}_{\pm \varepsilon}$ shrink at an appropriate rate. We prove (under regularity assumptions) that the SPRT based on the least favorable pair of distributions $(Q^\ast_{-\varepsilon}, Q^\ast_\varepsilon)$ given by Huber (1965) is asymptotically least favorable for expected sample size and is asymptotically minimax, provided that the limiting maximum error probabilities do not exceed $1/2.$
Publié le : 1985-06-14
Classification:  Sequential probability ratio test,  shrinking neighborhoods,  asymptotic minimax,  62F35,  62L10
@article{1176349544,
     author = {Quang, Pham Xuan},
     title = {Robust Sequential Testing},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 638-649},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349544}
}
Quang, Pham Xuan. Robust Sequential Testing. Ann. Statist., Tome 13 (1985) no. 1, pp.  638-649. http://gdmltest.u-ga.fr/item/1176349544/