On Robustifying of the Sequential Probability Ratio Test for a Discrete Model under “Contaminations” | Zendy

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On Robustifying of the Sequential Probability Ratio Test for a Discrete Model under “Contaminations”

Author(s) -

Alexey Kharin

Publication year - 2016

Publication title -

austrian journal of statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.342

H-Index - 9

ISSN - 1026-597X

DOI - 10.17713/ajs.v31i4.489

Subject(s) - mathematics , minimax , robustness (evolution) , sequential probability ratio test , parametric statistics , statistics , homogeneity (statistics) , statistical hypothesis testing , mathematical optimization , biochemistry , chemistry , gene

The problem of robustifying of the sequential probability ratio test is considered for a discrete hypothetical model. Exact values for error prob- abilities and for conditional expected sample sizes are obtained. Asymptotic robustness analysis for these characteristics is performed under "contamina- tions". A two-parametric family of modified sequential probability ratio tests is proposed and analyzed to get the robust test by the minimax risk criterion. Numerical experiments illustrate the theoretical results.

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