Testing composite hypotheses via convex duality
Rudloff, Birgit ; Karatzas, Ioannis
Bernoulli, Tome 16 (2010) no. 1, p. 1224-1239 / Harvested from Project Euclid
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We study the problem of testing composite hypotheses versus composite alternatives, using a convex duality approach. In contrast to classical results obtained by Krafft and Witting (Z. Wahrsch. Verw. Gebiete 7 (1967) 289–302), where sufficient optimality conditions are derived via Lagrange duality, we obtain necessary and sufficient optimality conditions via Fenchel duality under compactness assumptions. This approach also differs from the methodology developed in Cvitanić and Karatzas (Bernoulli 7 (2001) 79–97).
Publié le : 2010-11-15
Classification:  composite hypotheses,  convex duality,  generalized Neyman–Pearson lemma,  randomized test 
@article{1290092904,
     author = {Rudloff, Birgit and Karatzas, Ioannis},
     title = {Testing composite hypotheses via convex duality},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 1224-1239},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1290092904}
}

Rudloff, Birgit; Karatzas, Ioannis. Testing composite hypotheses via convex duality. Bernoulli, Tome 16 (2010) no. 1, pp.  1224-1239. http://gdmltest.u-ga.fr/item/1290092904/