Universal sequential outlier hypothesis testing

Yun Li, Sirin Nitinawarat, Venugopal V. Veeravalli

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Universal outlier hypothesis testing is studied in a sequential setting. Multiple observation sequences are collected, one of which is an outlier. Observations in the outlier sequence are generated by a unique mechanism, different from that generating the observations in all other sequences. The goal is to design a universal test to best discern the outlier sequence with the fewest observations on average. Based on the Multihypothesis Sequential Probability Ratio Test and the generalized likelihood test, a universal test is proposed and shown to be universally exponentially consistent. A lower bound on the achievable error exponents of such a test is derived. The proposed test can be modified to accommodate an additional null hypothesis with no outlier. In particular, it is shown to be consistent under the null hypothesis while retaining universally exponential consistency under all other hypotheses.

Original languageEnglish (US)
Title of host publication2014 IEEE International Symposium on Information Theory, ISIT 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3205-3209
Number of pages5
ISBN (Print)9781479951864
DOIs
StatePublished - Jan 1 2014
Event2014 IEEE International Symposium on Information Theory, ISIT 2014 - Honolulu, HI, United States
Duration: Jun 29 2014Jul 4 2014

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095

Other

Other2014 IEEE International Symposium on Information Theory, ISIT 2014
CountryUnited States
CityHonolulu, HI
Period6/29/147/4/14

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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