Generalized Neyman-Pearson lemma via convex duality.

DOI10.2307/3318603zbMath1054.62056WikidataQ125052783 ScholiaQ125052783MaRDI QIDQ5933652

Jakša Cvitanić, Ioannis Karatzas

Publication date: 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1080572340

zbMATH Keywords

hypothesis testing; subdifferentials; Komlós theorem; non-smooth convex analysis; normal cones; optimal generalized tests; saddle-points; stochastic games

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

49J53: Set-valued and variational analysis

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