The Neyman-Pearson lemma under g-probability
The Neyman-Pearson fundamental lemma is generalized under g-probability. With convexity assumptions, a sufficient and necessary condition which characterizes the optimal randomized tests is obtained via a maximum principle for stochastic control. To cite this article: S. Ji, X.Y. Zhou, C. R. Acad. S...
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| Médium: | Journal article |
| Jazyk: | English |
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2008
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