1. Kullback–Leibler divergence based multidimensional robust universal hypothesis testing.
- Author
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Bahçeci, Ufuk
- Abstract
In ball-type robust universal hypothesis testing (UHT), the null hypothesis is a set of probability distributions constrained by a ball of radius r > 0 denoted B (P 0 , r) based on the cumulative density function of the nominal distribution P 0 . A major limitation is that this method is originally designed only for one-dimensional distributions. To overcome this limitation, this paper proposes a new method to deal with multidimensional samples. For this purpose, first of all, new bounds are defined in the multidimensional domain. Later, a new mathematical programming model based on the transformed region of B (P 0 , r) , namely empirical multidimensional robust UHT problem based on Kullback–Leibler divergence is proposed for ball-type robust UHT. The power of the new testing method combined with different types of bounds was then demonstrated by a computational study. This method fills the research gap by enabling ball-type robust UHT for multidimensional samples and is flexible in that it can be used with different type of bounds. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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