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Minimax Testing of a Composite null Hypothesis Defined via a Quadratic Functional in the Model of regression

Author

Listed:
  • Laetitia Comminges

    (CREST)

  • Arnak Dalalyan

    (LIGM/IMAGINE)

Abstract

We consider the problem of testing a particular type of composite null hypothesis under a nonparametric multivariate regression model. For a given quadratic functional Q, the null hypothesis states that the regression function f satisfies the constraint Q[f] = 0, while the alternative corresponds to the functions for which Q[f] is bounded away from zero. On the one hand, we provide minimax rates of testing and the exact separation constants, along with a sharp-optimal testing procedure, for diagonal and nonnegative quadratic functionals. We consider smoothness classes of ellipsoidal form and check that our conditions are fulfilled in the particular case of ellipsoids corresponding to anisotropic Sobolev classes. In this case, we present a closed form of the minimax rate and the separation constant. On the other hand, minimax rates for quadratic functionals which are neither positive nor negative makes appear two different regimes: "regular" and "irregular". In the "regular" case, the minimax rate is equal to n-1/4 while in the "irregular" case, the rate depends on the smoothness class and is slower than in the "regular" case. We apply this to the issue of testing the equality of norms of two functions observed in noisy environments

Suggested Citation

  • Laetitia Comminges & Arnak Dalalyan, 2012. "Minimax Testing of a Composite null Hypothesis Defined via a Quadratic Functional in the Model of regression," Working Papers 2012-19, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2012-19
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    Cited by:

    1. Olivier Collier & Arnak Dalalyan, 2017. "Estimating linear functionals of a sparse family of Poisson means Price Discrimination," Working Papers 2017-19, Center for Research in Economics and Statistics.

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