An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric
The problem of sensitivity analysis for the sequential probability ratio test under func- tional distortions of the observation probability distribution is considered. For the situa- tion where distorted densities of the log likelihood ratio statistic belong to ?-neighborhoods of hypothetical center...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2014-06-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/31 |
| _version_ | 1818898320285761536 |
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| author | Alexey Kharin Sergey Chernov |
| author_facet | Alexey Kharin Sergey Chernov |
| author_sort | Alexey Kharin |
| collection | DOAJ |
| description | The problem of sensitivity analysis for the sequential probability ratio test under func- tional distortions of the observation probability distribution is considered. For the situa- tion where distorted densities of the log likelihood ratio statistic belong to ?-neighborhoods of hypothetical centers in the L1-metric the least favorable distributions that maximize the conditional error probabilities are constructed. The instability coefficient is obtained to enable robustness evaluation for the sequential probability ratio test and its modification – trimmed sequential probability ratio test. |
| first_indexed | 2024-12-19T19:30:12Z |
| format | Article |
| id | doaj.art-dfdde8b2ce4844ae85f9eb4c4487882f |
| institution | Directory Open Access Journal |
| issn | 1026-597X |
| language | English |
| last_indexed | 2024-12-19T19:30:12Z |
| publishDate | 2014-06-01 |
| publisher | Austrian Statistical Society |
| record_format | Article |
| series | Austrian Journal of Statistics |
| spelling | doaj.art-dfdde8b2ce4844ae85f9eb4c4487882f2022-12-21T20:08:37ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2014-06-0143310.17713/ajs.v43i3.3113An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metricAlexey Kharin0Sergey Chernov1Belarusian State UniversityBelarusian State UniversityThe problem of sensitivity analysis for the sequential probability ratio test under func- tional distortions of the observation probability distribution is considered. For the situa- tion where distorted densities of the log likelihood ratio statistic belong to ?-neighborhoods of hypothetical centers in the L1-metric the least favorable distributions that maximize the conditional error probabilities are constructed. The instability coefficient is obtained to enable robustness evaluation for the sequential probability ratio test and its modification – trimmed sequential probability ratio test.http://www.ajs.or.at/index.php/ajs/article/view/31 |
| spellingShingle | Alexey Kharin Sergey Chernov An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric Austrian Journal of Statistics |
| title | An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric |
| title_full | An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric |
| title_fullStr | An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric |
| title_full_unstemmed | An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric |
| title_short | An Approach to Robustness Evaluation for Sequential Testing under Functional Distortions in L1-metric |
| title_sort | approach to robustness evaluation for sequential testing under functional distortions in l1 metric |
| url | http://www.ajs.or.at/index.php/ajs/article/view/31 |
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