The Sample Complexity of Simple Binary Hypothesis Testing
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866910965340045312 |
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| author | Pensia, Ankit Jog, Varun Loh, Po-Ling |
| author_facet | Pensia, Ankit Jog, Varun Loh, Po-Ling |
| contents | The sample complexity of simple binary hypothesis testing is the smallest number of i.i.d.\ samples required to distinguish between two distributions $p$ and $q$ in either: (i) the prior-free setting, with type-I error at most $α$ and type-II error at most $β$; or (ii) the Bayesian setting, with Bayes error at most $δ$ and prior distribution $(π, 1-π)$. This problem has only been studied when $α= β$ (prior-free) or $π= 1/2$ (Bayesian), and the sample complexity is known to be characterized by the Hellinger divergence between $p$ and $q$, up to multiplicative constants. In this paper, we derive a formula that characterizes the sample complexity (up to multiplicative constants that are independent of $p$, $q$, and all error parameters) for: (i) all $0 \le α, β\le 1/8$ in the prior-free setting; and (ii) all $δ\le π/4$ in the Bayesian setting. In particular, the formula admits equivalent expressions in terms of certain divergences from the Jensen--Shannon and Hellinger families. The main technical result concerns an $f$-divergence inequality between members of the Jensen--Shannon and Hellinger families, which is proved by a combination of information-theoretic tools and case-by-case analyses. We explore applications of our results to (i) robust hypothesis testing, (ii) distributed (locally-private and communication-constrained) hypothesis testing, (iii) sequential hypothesis testing, and (iv) hypothesis testing with erasures. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_16981 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The Sample Complexity of Simple Binary Hypothesis Testing Pensia, Ankit Jog, Varun Loh, Po-Ling Statistics Theory Information Theory Machine Learning The sample complexity of simple binary hypothesis testing is the smallest number of i.i.d.\ samples required to distinguish between two distributions $p$ and $q$ in either: (i) the prior-free setting, with type-I error at most $α$ and type-II error at most $β$; or (ii) the Bayesian setting, with Bayes error at most $δ$ and prior distribution $(π, 1-π)$. This problem has only been studied when $α= β$ (prior-free) or $π= 1/2$ (Bayesian), and the sample complexity is known to be characterized by the Hellinger divergence between $p$ and $q$, up to multiplicative constants. In this paper, we derive a formula that characterizes the sample complexity (up to multiplicative constants that are independent of $p$, $q$, and all error parameters) for: (i) all $0 \le α, β\le 1/8$ in the prior-free setting; and (ii) all $δ\le π/4$ in the Bayesian setting. In particular, the formula admits equivalent expressions in terms of certain divergences from the Jensen--Shannon and Hellinger families. The main technical result concerns an $f$-divergence inequality between members of the Jensen--Shannon and Hellinger families, which is proved by a combination of information-theoretic tools and case-by-case analyses. We explore applications of our results to (i) robust hypothesis testing, (ii) distributed (locally-private and communication-constrained) hypothesis testing, (iii) sequential hypothesis testing, and (iv) hypothesis testing with erasures. |
| title | The Sample Complexity of Simple Binary Hypothesis Testing |
| topic | Statistics Theory Information Theory Machine Learning |
| url | https://arxiv.org/abs/2403.16981 |