Universal sequential outlier hypothesis testing

Yun Li; Sirin Nitinawarat; Venugopal V. Veeravalli

doi:10.1109/ISIT.2014.6875426

Universal sequential outlier hypothesis testing

Yun Li, Sirin Nitinawarat, Venugopal V. Veeravalli

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English (US)
Title of host publication	2014 IEEE International Symposium on Information Theory, ISIT 2014
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	3205-3209
Number of pages	5
ISBN (Print)	9781479951864
DOIs	https://doi.org/10.1109/ISIT.2014.6875426
State	Published - 2014
Event	2014 IEEE International Symposium on Information Theory, ISIT 2014 - Honolulu, HI, United States Duration: Jun 29 2014 → Jul 4 2014

Publication series

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

Other

Other	2014 IEEE International Symposium on Information Theory, ISIT 2014
Country/Territory	United States
City	Honolulu, HI
Period	6/29/14 → 7/4/14

ASJC Scopus subject areas

Theoretical Computer Science
Information Systems
Modeling and Simulation
Applied Mathematics

Online availability

10.1109/ISIT.2014.6875426

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Li, Y., Nitinawarat, S., & Veeravalli, V. V. (2014). Universal sequential outlier hypothesis testing. In 2014 IEEE International Symposium on Information Theory, ISIT 2014 (pp. 3205-3209). Article 6875426 (IEEE International Symposium on Information Theory - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISIT.2014.6875426

Universal sequential outlier hypothesis testing. / Li, Yun; Nitinawarat, Sirin; Veeravalli, Venugopal V.
2014 IEEE International Symposium on Information Theory, ISIT 2014. Institute of Electrical and Electronics Engineers Inc., 2014. p. 3205-3209 6875426 (IEEE International Symposium on Information Theory - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Li, Y, Nitinawarat, S & Veeravalli, VV 2014, Universal sequential outlier hypothesis testing. in 2014 IEEE International Symposium on Information Theory, ISIT 2014., 6875426, IEEE International Symposium on Information Theory - Proceedings, Institute of Electrical and Electronics Engineers Inc., pp. 3205-3209, 2014 IEEE International Symposium on Information Theory, ISIT 2014, Honolulu, HI, United States, 6/29/14. https://doi.org/10.1109/ISIT.2014.6875426

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Universal sequential outlier hypothesis testing

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