- TITLE: Testing Composite Hypotheses via Convex Duality.
- AUTHOR: Birgit Rudloff,
- 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 & Witting (1967), where sufficient optimality conditions are
obtained via Lagrange duality, we obtain necessary and sufficient
optimality conditions via Fenchel duality under some compactness
assumptions. This approach also differs from the methodology
developed in Cvitanic & Karatzas (2001).
Bernoulli 16 (4), 1224 – 1239, 2010.
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