Paper
Weighted Chernoff information and optimal loss exponent in context-sensitive hypothesis testing
Authors
Mark Kelbert, El'mira Yu. Kalimulina
Abstract
We consider context-sensitive (binary) hypothesis testing for i.i.d. observations under a multiplicative weight function. We establish the logarithmic asymptotic, as the sample size grows, of the optimal total loss (sum of type-I and type-II losses) and express the corresponding error exponent through a weighted Chernoff information between the competing distributions. Our approach embeds weighted geometric mixtures into an exponential family and identifies the exponent as the maximizer of its log-normaliser. We also provide concentration bounds for a tilted weighted log-likelihood and derive explicit expressions for Gaussian and Poisson models, as well as further parametric examples.
Metadata
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Raw Data (Debug)
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