Generalized Neyman-pearson Lemma via Convex Duality
نویسنده
چکیده
We extend the classical Neyman-Pearson theory for testing composite hypotheses versus composite alternatives, using a convex duality approach as in Witting (1985). Results of Aubin & Ekeland (1984) from non-smooth convex analysis are employed, along with a theorem of Komlós (1967), in order to establish the existence of a max-min optimal test in considerable generality, and to investigate its properties. The theory is illustrated on representative examples involving Gaussian measures on Euclidean and Wiener space.
منابع مشابه
Generalized Neyman - Pearson Lemma
We extend the classical Neyman-Pearson theory for testing composite hypotheses versus composite alternatives, using a convex duality approach as in Witting (1985). Results of Aubin & Ekeland (1984) from non-smooth convex analysis are employed, along with a theorem of Komll os (1967), in order to establish the existence of a max-min optimal test and to investigate its properties. The theory is i...
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