The Annals of Statistics

Robust Sequential Testing

Pham Xuan Quang

Full-text: Open access

Abstract

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 $1/2.$

Article information

Source
Ann. Statist., Volume 13, Number 2 (1985), 638-649.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349544

Digital Object Identifier
doi:10.1214/aos/1176349544

Mathematical Reviews number (MathSciNet)
MR790562

Zentralblatt MATH identifier
0588.62136

JSTOR
links.jstor.org

Subjects
Primary: 62F35: Robustness and adaptive procedures
Secondary: 62L10: Sequential analysis

Keywords
Sequential probability ratio test shrinking neighborhoods asymptotic minimax

Citation

Quang, Pham Xuan. Robust Sequential Testing. Ann. Statist. 13 (1985), no. 2, 638--649. doi:10.1214/aos/1176349544. https://projecteuclid.org/euclid.aos/1176349544


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