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Universal multiple outlier hypothesis testing

机译:通用多重离群假设检验

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摘要

The universal multiple outlier hypothesis testing problem is studied in two settings. In the first setting, each outlier can be arbitrarily distributed, and the number of outliers is fixed and known. In the second setting, the number of outliers is unknown at the outset. Nothing is known about the typical and outlier distributions other than that they are different and have full supports. For the first setting, a universally exponentially consistent test is proposed, and its achievable error exponent is characterized. The limiting error exponent achieved by such test is analyzed as the number of coordinates goes to infinity, and it is shown that the test also enjoys universally asymptotically exponential consistency. For the second setting, it is shown that with the assumption of outliers being identically distributed and the exclusion of the null hypothesis, a test based on the generalize likelihood principle is universally exponentially consistent.
机译:通用多重离群假设检验问题是在两种情况下研究的。在第一设置中,每个异常值可以任意分布,并且异常值的数量是固定的并且是已知的。在第二种设置中,离群值的数量一开始是未知的。关于典型分布和离群分布,除了它们是不同的并且有完整的支持以外,一无所知。对于第一种设置,提出了一种通用的指数一致性测试,并对其可实现的误差指数进行了表征。随着坐标数趋于无穷大,分析了该测试获得的极限误差指数,表明该测试还具有普遍的渐近指数一致性。对于第二种情况,表明在异常值分布相同且排除原假设的情况下,基于广义似然原理的检验在总体上是指数一致的。

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