# Minimax optimal sequential hypothesis tests for Markov processes

@article{Fauss2018MinimaxOS, title={Minimax optimal sequential hypothesis tests for Markov processes}, author={Michael Fauss and Abdelhak M. Zoubir and H. Vincent Poor}, journal={arXiv: Statistics Theory}, year={2018} }

Under mild Markov assumptions, sufficient conditions for strict minimax optimality of sequential tests for multiple hypotheses under distributional uncertainty are derived. First, the design of optimal sequential tests for simple hypotheses is revisited and it is shown that the partial derivatives of the corresponding cost function are closely related to the performance metrics of the underlying sequential test. Second, an implicit characterization of the least favorable distributions for a… Expand

#### 5 Citations

Minimax Optimal Sequential Tests for Multiple Hypotheses

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- 2018 56th Annual Allerton Conference on Communication, Control, and Computing (Allerton)
- 2018

It is shown that, in analogy to the fixed sample size case, the minimax solution is an optimal test for the least favorable distributions, i.e., a test that optimally separates the most similar feasible distributions. Expand

Bayesian Sequential Joint Detection and Estimation under Multiple Hypotheses

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- ArXiv
- 2020

A strong connection between the derivatives of the cost function with respect to the coefficients and the detection/estimation errors of the sequential procedure is derived and it is shown that for suitably chosen cost coefficients the solutions of the constrained and the unconstrained problem coincide. Expand

Fading Boundaries: On a Nonparametric Variant of the Kiefer--Weiss Problem.

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- 2020

A nonparametric variant of the Kiefer--Weiss problem is proposed and investigated. In analogy to the classical Kiefer--Weiss problem, the objective is to minimize the maximum expected sample size of… Expand

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- Computer Science, Mathematics
- IEEE Transactions on Signal Processing
- 2021

This paper provides an overview of results and concepts in minimax robust hypothesis testing for two and multiple hypotheses, and an outlook on robust detection beyond the minimax principle. Expand

On Optimal Quantization in Sequential Detection

- Computer Science, Mathematics
- ArXiv
- 2021

The problem of designing optimal quantization rules for sequential detectors is investigated. First, it is shown that this task can be solved within the general framework of active sequential… Expand

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