Second-Order Asymptotics of Hoeffding-Like Hypothesis Tests

Abstract

We consider a binary statistical hypothesis testing problem, where $n$ independent and identically distributed random variables $Z^n$ are either distributed according to the null hypothesis $P$ or the alternate hypothesis $Q$, and only $P$ is known. For this problem, a well-known test is the Hoeffding test, which accepts $P$ if the Kullback-Leibler (KL) divergence between the empirical distribution of $Z^n$ and $P$ is below some threshold. In this paper, we consider Hoeffding-like tests, where the KL divergence is replaced by other divergences, and characterize, for a large class of divergences, the first and second-order terms of the type-II error for a fixed type-I error. Since the considered class includes the KL divergence, we obtain the second-order term of the Hoeffiding test as a special case.