Testing composite hypotheses via convex duality

DOI10.3150/10-BEJ249zbMath1207.62101arXiv0809.4297MaRDI QIDQ627299

Ioannis Karatzas, Birgit Rudloff

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.4297

zbMATH Keywords

convex dualitycomposite hypothesesgeneralized Neyman-Pearson lemmarandomized test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Parametric hypothesis testing (62F03)

Related Items (5)

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ A characterization of a minimax test in the problem of testing two composite hypotheses ⋮ A characterization of maximin tests for two composite hypotheses ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ On the construction of optimal payoffs

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