Huber-robust likelihood ratio tests for composite nulls and alternatives

TL;DR

This paper introduces a new e-value based framework for robust sequential hypothesis testing of composite nulls versus alternatives, effective even with data corruption and without regularity conditions.

Contribution

It develops optimal robust e-value tests for composite hypotheses using LFDs, including new methods when LFDs do not exist, applicable in sequential and non-i.i.d. contamination models.

Findings

Supermartingale growth under alternatives at optimal rate

Type-I error control without regularity conditions

Asymptotic rate converges to classical KL divergence as contamination vanishes

Abstract

We propose an e-value based framework for testing arbitrary composite nulls against composite alternatives, when an $\epsilon$ fraction of the data can be arbitrarily corrupted. Our tests are inherently sequential, being valid at arbitrary data-dependent stopping times, but they are new even for fixed sample sizes, giving type-I error control without any regularity conditions. We first prove that least favourable distribution (LFD) pairs, when they exist, yield optimal e-values for testing arbitrary composite nulls against composite alternatives. Then we show that if an LFD pair exists for some composite null and alternative, then the LFDs of Huber's $\epsilon$-contamination or total variation (TV) neighborhoods around that specific pair form the optimal LFD pair for the corresponding robustified composite hypotheses. Furthermore, where LFDs do not exist, we develop new robust composite tests for general settings. Our test statistics are a nonnegative supermartingale under the (robust) null, even under a sequentially adaptive (non-i.i.d.) contamination model where the conditional distribution of each observation given the past data lies within an $\epsilon$ TV ball of some distribution in the original composite null. When LFDs exist, our supermartingale grows to infinity exponentially fast under any distribution in the ($\epsilon$ TV-corruption of the) alternative at the optimal rate. When LFDs do not exist, we provide an asymptotic growth rate analysis, showing that as $\epsilon \to 0$, the exponent converges to the corresponding Kullback-Leibler divergence, recovering the classical optimal non-robust rate. Simulations validate the theory and demonstrate reasonable practical performance.