Minimax optimal sequential hypothesis tests for Markov processes

  title={Minimax optimal sequential hypothesis tests for Markov processes},
  author={Michael Fauss and Abdelhak M. Zoubir and H. Vincent Poor},
  journal={arXiv: Statistics Theory},
Under mild Markov assumptions, sufficient conditions for strict minimax optimality of sequential tests for multiple hypotheses under distributional uncertainty are derived. First, the design of optimal sequential tests for simple hypotheses is revisited and it is shown that the partial derivatives of the corresponding cost function are closely related to the performance metrics of the underlying sequential test. Second, an implicit characterization of the least favorable distributions for a… Expand

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