Composite Tests under Corrupted Data
Laboratoire de Probabilités, Statistique et Modélisation, Sorbonne Université, 75005 Paris, France
Institute of Information Theory and Automation, The Czech Academy of Sciences, 18208 Prague, Czech Republic
Faculty of Mathematics and Physics, Charles University, 18207 Prague, Czech Republic
Department of ECE, Indian Institute of Technology, Palakkad 560012, India
Safran Aircraft Engines, 77550 Moissy-Cramayel, France
Author to whom correspondence should be addressed.
Received: 11 November 2018 / Revised: 8 January 2019 / Accepted: 10 January 2019 / Published: 14 January 2019
PDF [378 KB, uploaded 14 January 2019]
This paper focuses on test procedures under corrupted data. We assume that the observations
are mismeasured, due to the presence of measurement errors. Thus, instead of
, we observe
, with an unknown parameter
and an unobservable random variable
. It is assumed that the random variables
are i.i.d., as are the
. The test procedure aims at deciding between two simple hyptheses pertaining to the density of the variable
. In this setting, the density of the
is supposed to be known. The procedure which we propose aggregates likelihood ratios for a collection of values of
. A new definition of least-favorable hypotheses for the aggregate family of tests is presented, and a relation with the Kullback-Leibler divergence between the sets
is presented. Finite-sample lower bounds for the power of these tests are presented, both through analytical inequalities and through simulation under the least-favorable hypotheses. Since no optimality holds for the aggregation of likelihood ratio tests, a similar procedure is proposed, replacing the individual likelihood ratio by some divergence based test statistics. It is shown and discussed that the resulting aggregated test may perform better than the aggregate likelihood ratio procedure.
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MDPI and ACS Style
Broniatowski, M.; Jurečková, J.; Moses, A.K.; Miranda, E. Composite Tests under Corrupted Data. Entropy 2019, 21, 63.
Broniatowski M, Jurečková J, Moses AK, Miranda E. Composite Tests under Corrupted Data. Entropy. 2019; 21(1):63.
Broniatowski, Michel; Jurečková, Jana; Moses, Ashok K.; Miranda, Emilie. 2019. "Composite Tests under Corrupted Data." Entropy 21, no. 1: 63.
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