(i) Let K(P0, P1) be the KullbackLeibler Information, defined in (11.21). Show that K(P0, P1) 0...

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(i) Let K(P0, P1) be the Kullback–Leibler Information, defined in

(11.21). Show that K(P0, P1) ≥ 0 with equality iff P0 = P1.

(ii) Show the convergence (11.20) holds even when K(P0, P1) = ∞. Hint: Use Problem 11.36.

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Testing Statistical Hypotheses Volume I

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Authors: E.L. Lehmann, Joseph P. Romano

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(i) Let K(P0, P1) be the KullbackLeibler Information, defined in (11.21). Show that K(P0, P1) 0 with equality iff P0 = P1. (ii) Show the convergence (11.20) holds even when K(P0, P1) = . Hint: Use...
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(i) Let K(P0, P1) be the KullbackLeibler Information, defined in (11.21). Show that K(P0, P1) 0...

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Testing Statistical Hypotheses Volume I

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