Optimal regularized hypothesis testing in statistical inverse problems
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arXiv
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| Format: | Preprint |
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2022
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| _version_ | 1866913303051108352 |
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| author | Kretschmann, Remo Wachsmuth, Daniel Werner, Frank |
| author_facet | Kretschmann, Remo Wachsmuth, Daniel Werner, Frank |
| contents | Testing of hypotheses is a well studied topic in mathematical statistics. Recently, this issue has also been addressed in the context of Inverse Problems, where the quantity of interest is not directly accessible but only after the inversion of a (potentially) ill-posed operator. In this study, we propose a regularized approach to hypothesis testing in Inverse Problems in the sense that the underlying estimators (or test statistics) are allowed to be biased. Under mild source-condition type assumptions we derive a family of tests with prescribed level $α$ and subsequently analyze how to choose the test with maximal power out of this family. As one major result we prove that regularized testing is always at least as good as (classical) unregularized testing. Furthermore, using tools from convex optimization, we provide an adaptive test by maximizing the power functional, which then outperforms previous unregularized tests in numerical simulations by several orders of magnitude. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2212_12897 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Optimal regularized hypothesis testing in statistical inverse problems Kretschmann, Remo Wachsmuth, Daniel Werner, Frank Statistics Theory Numerical Analysis 62G10, 47A52, 65J20, 65F22, 65R30 Testing of hypotheses is a well studied topic in mathematical statistics. Recently, this issue has also been addressed in the context of Inverse Problems, where the quantity of interest is not directly accessible but only after the inversion of a (potentially) ill-posed operator. In this study, we propose a regularized approach to hypothesis testing in Inverse Problems in the sense that the underlying estimators (or test statistics) are allowed to be biased. Under mild source-condition type assumptions we derive a family of tests with prescribed level $α$ and subsequently analyze how to choose the test with maximal power out of this family. As one major result we prove that regularized testing is always at least as good as (classical) unregularized testing. Furthermore, using tools from convex optimization, we provide an adaptive test by maximizing the power functional, which then outperforms previous unregularized tests in numerical simulations by several orders of magnitude. |
| title | Optimal regularized hypothesis testing in statistical inverse problems |
| topic | Statistics Theory Numerical Analysis 62G10, 47A52, 65J20, 65F22, 65R30 |
| url | https://arxiv.org/abs/2212.12897 |