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Dynamical hypothesis tests and Decision Theory for Gibbs distributions

Abstract

We consider the problem of testing for two Gibbs probabilities μ0\mu_0 and μ1\mu_1 defined for a dynamical system (Ω,T)(\Omega,T). Due to the fact that in general full orbits are not observable or computable, one needs to restrict to subclasses of tests defined by a finite time series h(x0),h(x1)=h(T(x0)),...,h(xn)=h(Tn(x0))h(x_0), h(x_1)=h(T(x_0)),..., h(x_n)=h(T^n(x_0)), x0Ωx_0\in \Omega, n0n\ge 0, where h:ΩRh:\Omega\to\mathbb R denotes a suitable measurable function. We determine in each class the Neyman-Pearson tests, the minimax tests, and the Bayes solutions, and show the asymptotic decay of their risk functions, as nn\to\infty. In the case of Ω\Omega being a symbolic space, for each nNn\in \mathbb{N}, these optimal tests rely on the information of the measures for cylinder sets of size nn.

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