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Error Exponents in Hypothesis Testing and Chernoff Information

Tan, Choon Peng, (2007) Error Exponents in Hypothesis Testing and Chernoff Information. Malaysian Journal of Science, 26 (SKSM14 Special Issue). pp. 139-143. ISSN 13943065

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Affiliations

Universiti Tunku Abdul Rahman. Faculty of Information and Communication Technology

Abstract

We consider a simple hypothesis testing problem on the parameters of a probability distribution belonging to the exponential class. It is well-known that the Chernoff information is the best asymptotic achievable exponent in the Bayesian probability of error when we use a likelihood ratio test with an exponential threshold function of the sample size. We shall derive the general forms of the error exponent and the Chernoff information for the exponential class. In tests using the maximum-a-posteriori probability decision rule, the Chernoff information provides a lower bound on the error exponent. The Chernoff informations of some common distributions will be demonstrated.

Item Type:Journal
Keywords:Hypothesis testing, error exponent, Chernoff information, exponential class, information theory
Subjects:Q Science, Computer Science
T Technology, Engineering
ID Code:2694

1. Cover, T. M. and Thomas, J. A. (1991). Elements of Information Theory. New York: John Wiley.

2. Csiszar, I. and Shields, P. C. (2004). Information Theory and Statistics: A Tutorial. Hanover (Massachusetts): Now Publishers.

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