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Mathematics > Statistics Theory

Title: Signal detection via Phi-divergences for general mixtures

Authors: Marc Ditzhaus
Abstract: In this paper we are interested in testing whether there are any signals hidden in high dimensional noise data. Therefore we study the family of goodness-of-fit tests based on $\Phi$-divergences including the test of Berk and Jones as well as Tukey's higher criticism test. The optimality of this family is already known for the heterogeneous normal mixture model. We now present a technique to transfer this optimality to more general models. For illustration we apply our results to dense signal and sparse signal models including the exponential-$\chi^2$ mixture model and general exponential families as the normal, exponential and Gumbel distribution. Beside the optimality of the whole family we discuss the power behavior on the detection boundary and show that the whole family has no power there, whereas the likelihood ratio test does.
Subjects: Statistics Theory (math.ST)
Cite as: arXiv:1803.06519 [math.ST]
  (or arXiv:1803.06519v1 [math.ST] for this version)

Submission history

From: Marc Ditzhaus [view email]
[v1] Sat, 17 Mar 2018 15:17:55 GMT (146kb,D)