Generalized Neyman-Pearson lemma via convex duality

Bernoulli

Volumn 7, Issue 1, 2001, Pages 79-97

  Cvitanić, Jakša ^a   Karatzas, Ioannis ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b Columbia University ^*  (United States)

Author keywords

Hypothesis testing; Koml s theorem; Non smooth convex analysis; Normal cones; Optimal generalized tests; Saddle points; Stochastic games; Subdifferentials

Indexed keywords

EID: 0344840831     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318603     Document Type: Article

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