Show that P1 P01 can also be computed as 2 supB |P1(B) P0(B)| , where

Question:

Show that P1 − P01 can also be computed as 2 supB

|P1(B) − P0(B)| ,

where the supremum is over all measurable sets B. In addition, it may be computed as sup {φ:|φ|≤1}
%
%
%
%

φ(x)dP1(x) −

φ(x)dP0(x)
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% , where the supremum is over all measurable functions φ such that supx |φ(x)| ≤ 1.

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Testing Statistical Hypotheses

ISBN: 9781441931788

3rd Edition

Authors: Erich L. Lehmann, Joseph P. Romano

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