Open Access
2012 Non asymptotic minimax rates of testing in signal detection with heterogeneous variances
Béatrice Laurent, Jean-Michel Loubes, Clément Marteau
Electron. J. Statist. 6: 91-122 (2012). DOI: 10.1214/12-EJS667

Abstract

The aim of this paper is to establish non-asymptotic minimax rates for goodness-of-fit hypotheses testing in an heteroscedastic setting. More precisely, we deal with sequences (Yj)jJ of independent Gaussian random variables, having mean (θj)jJ and variance (σj)jJ. The set J will be either finite or countable. In particular, such a model covers the inverse problem setting where few results in test theory have been obtained. The rates of testing are obtained with respect to l2 norm, without assumption on (σj)jJ and on several functions spaces. Our point of view is entirely non-asymptotic.

Citation

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Béatrice Laurent. Jean-Michel Loubes. Clément Marteau. "Non asymptotic minimax rates of testing in signal detection with heterogeneous variances." Electron. J. Statist. 6 91 - 122, 2012. https://doi.org/10.1214/12-EJS667

Information

Published: 2012
First available in Project Euclid: 3 February 2012

zbMATH: 1334.62085
MathSciNet: MR2879673
Digital Object Identifier: 10.1214/12-EJS667

Subjects:
Primary: 62G05 , 62K20

Keywords: Goodness-of-fit tests , heterogeneous variances , Inverse problems

Rights: Copyright © 2012 The Institute of Mathematical Statistics and the Bernoulli Society

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