Bayesian Binary Hypothesis Testing Under Model Uncertainty

We consider Bayesian binary hypothesis testing problem when there is only partial knowledge about one of the distributions, while the other distribution is fully known. Specifically, let P
1
and P
2
be the distributions under two hypothesis, where P
2
is known and P
1
is unknown. We propose a test and show that if the Chernoff distance between P
1
and P
2
is known to be larger than ϕ, an error exponent ϕ-ϵ, ϵ>0, can be achieved in the Bayesian setting. If the Chernoff distance between P
1
and P
2
is not known, but another distribution Q
1
known such that l
1
distance between P
1
and Q
1
is known the smaller than α, then the same test can be applied, and it coincides with the robust hypothesis testing methods existing in the literature.