Testing composite hypotheses via convex duality
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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).
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Cited in
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- Convexity of acceptance regions of multivariate tests
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- On the construction of optimal payoffs
- 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
- Multiple hypothesis testing on composite nulls using constrained \(p\)-values
- Verification of composite hypotheses from results of randomized experiments
- Generalized Neyman-Pearson lemma via convex duality.
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- A characterization of maximin tests for two composite hypotheses
- Testing composite hypotheses, Hermite polynomials and optimal estimation of a nonsmooth functional
- Analogue of the Neyman-Pearson lemma for several simple hypotheses
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