Quotation Rudloff, Birgit, Karatzas, Ioannis. 2010. Testing composite hypotheses via convex duality. Bernoulli 16 (4): S. 1224-1239.




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 Cvitanic ́ and Karatzas (Bernoulli 7 (2001) 79–97).


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Bernoulli
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-B
Language English
Title Testing composite hypotheses via convex duality
Volume 16
Number 4
Year 2010
Page from 1224
Page to 1239
Reviewed? Y
URL http://www.princeton.edu/~brudloff/RudloffKaratzas10.pdf
DOI http://dx.doi.org/10.3150/10-BEJ249


Rudloff, Birgit (Details)
Karatzas, Ioannis (Columbia University, United States/USA)
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