Can I read The Neyman-Pearson lemma for convex expectations on EtoBox?

The Neyman-Pearson lemma for convex expectations by Sun, Chuanfeng; Ji, Shaolin is a scholarly article available to read on EtoBox.

What is The Neyman-Pearson lemma for convex expectations about?

We study the Neyman-Pearson problem for convex expectations on L^{\infty}(\mu). The existence of the optimal test is given. Without assuming that the level sets of penalty functions are weakly compact, we prove that the optimal tests for convex expectations on L^{\infty}(\mu) are just the classical Neyman-Pearson tests between a fixed representative pair of simple hypotheses. Then we show that the Neyman-Pearson problem for convex expectations on L^{1}(\mu) can be solved similarly.

Author

Sun, Chuanfeng; Ji, Shaolin

Published

2019

Language

EN