Optimal Inference with a Multidimensional Multiscale Statistic

Abstract

We observe a stochastic process $Y$ on $[0,1{]}^d$ ($d\ge 1$) satisfying $dY(t)=n^{1/2}f(t)dt$ + $dW(t)$, $t\in [0,1{]}^d$, where $n\ge 1$ is a given scale parameter (`sample size'), $W$ is the standard Brownian sheet on $[0,1{]}^d$ and $f\in L_1([0,1{]}^d)$ is the unknown function of interest. We propose a multivariate multiscale statistic in this setting and prove its almost sure finiteness; this extends the work of Dümbgen and Spokoiny (2001) who proposed the analogous statistic for $d=1$. We use the proposed multiscale statistic to construct optimal tests for testing $f=0$ versus (i) appropriate Hölder classes of functions, and (ii) alternatives of the form $f={\mu }_n{\mathbb{I}}_{B_n}$, where $B_n$ is an axis-aligned hyperrectangle in $[0,1{]}^d$ and ${\mu }_n\in \mathbb{R}$; ${\mu }_n$ and $B_n$ unknown. In the process we generalize Theorem 6.1 of Dümbgen and Spokoiny (2001) about stochastic processes with sub-Gaussian increments on a pseudometric space, which is of independent interest.

39 pages