YoungStatS
The blog of Young Statisticians Europe (YSE)
hypothesis-testing
Generalizing the Neyman-Pearson Lemma for multiple hypothesis testing problems
Ruth Heller and Saharon Rosset
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2021-04-13
Let us start by considering the optimal rejection policy for a single hypothesis testing problem. There are three elements to the problem. The objective: to maximize the power to reject the null hypothesis. The constraint: to control the type I error probability, so that it is at most a predefined…