Note on stability estimation in sequential hypothesis testing

E. Gordienko, J. Ruiz de Chávez, and A. García. "Note on stability estimation in sequential hypothesis testing." Applicationes Mathematicae 40.1 (2013): 109-116. <http://eudml.org/doc/279851>.

@article{E2013,
abstract = {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.},
author = {E. Gordienko, J. Ruiz de Chávez, A. García},
journal = {Applicationes Mathematicae},
keywords = {uncertainty about hypothesis; stability index; stability inequality},
language = {eng},
number = {1},
pages = {109-116},
title = {Note on stability estimation in sequential hypothesis testing},
url = {http://eudml.org/doc/279851},
volume = {40},
year = {2013},
}

TY - JOUR
AU - E. Gordienko
AU - J. Ruiz de Chávez
AU - A. García
TI - Note on stability estimation in sequential hypothesis testing
JO - Applicationes Mathematicae
PY - 2013
VL - 40
IS - 1
SP - 109
EP - 116
AB - 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.
LA - eng
KW - uncertainty about hypothesis; stability index; stability inequality
UR - http://eudml.org/doc/279851
ER -