Huber-robust likelihood ratio tests for composite nulls and alternatives
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866914218072080384 |
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| author | Saha, Aytijhya Ramdas, Aaditya |
| author_facet | Saha, Aytijhya Ramdas, Aaditya |
| contents | We propose an e-value based framework for testing arbitrary composite nulls against composite alternatives, when an $ε$ fraction of the data can be arbitrarily corrupted. Our tests are inherently sequential, being valid at arbitrary data-dependent stopping times, but they are new even for fixed sample sizes, giving type-I error control without any regularity conditions. We first prove that least favourable distribution (LFD) pairs, when they exist, yield optimal e-values for testing arbitrary composite nulls against composite alternatives. Then we show that if an LFD pair exists for some composite null and alternative, then the LFDs of Huber's $ε$-contamination or total variation (TV) neighborhoods around that specific pair form the optimal LFD pair for the corresponding robustified composite hypotheses. Furthermore, where LFDs do not exist, we develop new robust composite tests for general settings. Our test statistics are a nonnegative supermartingale under the (robust) null, even under a sequentially adaptive (non-i.i.d.) contamination model where the conditional distribution of each observation given the past data lies within an $ε$ TV ball of some distribution in the original composite null. When LFDs exist, our supermartingale grows to infinity exponentially fast under any distribution in the ($ε$ TV-corruption of the) alternative at the optimal rate. When LFDs do not exist, we provide an asymptotic growth rate analysis, showing that as $ε\to 0$, the exponent converges to the corresponding Kullback-Leibler divergence, recovering the classical optimal non-robust rate. Simulations validate the theory and demonstrate reasonable practical performance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_14015 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Huber-robust likelihood ratio tests for composite nulls and alternatives Saha, Aytijhya Ramdas, Aaditya Methodology We propose an e-value based framework for testing arbitrary composite nulls against composite alternatives, when an $ε$ fraction of the data can be arbitrarily corrupted. Our tests are inherently sequential, being valid at arbitrary data-dependent stopping times, but they are new even for fixed sample sizes, giving type-I error control without any regularity conditions. We first prove that least favourable distribution (LFD) pairs, when they exist, yield optimal e-values for testing arbitrary composite nulls against composite alternatives. Then we show that if an LFD pair exists for some composite null and alternative, then the LFDs of Huber's $ε$-contamination or total variation (TV) neighborhoods around that specific pair form the optimal LFD pair for the corresponding robustified composite hypotheses. Furthermore, where LFDs do not exist, we develop new robust composite tests for general settings. Our test statistics are a nonnegative supermartingale under the (robust) null, even under a sequentially adaptive (non-i.i.d.) contamination model where the conditional distribution of each observation given the past data lies within an $ε$ TV ball of some distribution in the original composite null. When LFDs exist, our supermartingale grows to infinity exponentially fast under any distribution in the ($ε$ TV-corruption of the) alternative at the optimal rate. When LFDs do not exist, we provide an asymptotic growth rate analysis, showing that as $ε\to 0$, the exponent converges to the corresponding Kullback-Leibler divergence, recovering the classical optimal non-robust rate. Simulations validate the theory and demonstrate reasonable practical performance. |
| title | Huber-robust likelihood ratio tests for composite nulls and alternatives |
| topic | Methodology |
| url | https://arxiv.org/abs/2408.14015 |