hypothesis-testing

Generalizing the Neyman-Pearson Lemma for multiple hypothesis testing problems

Ruth Heller and Saharon Rosset / 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…