Testing composite hypotheses via convex duality
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Publication:627299
DOI10.3150/10-BEJ249zbMATH Open1207.62101arXiv0809.4297MaRDI QIDQ627299FDOQ627299
Authors: Birgit Rudloff, Ioannis Karatzas 
Publication date: 28 February 2011
Published in: Bernoulli (Search for Journal in Brave)
Abstract: 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 Cvitani'{c} and Karatzas (Bernoulli 7 (2001) 79--97).
Full work available at URL: https://arxiv.org/abs/0809.4297
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Cited In (13)
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