The following proposition stems from the proof of Neyman-Pearson lemma. The result is not quite intuitive, and is there any easier proof?

Proposition 1Let are two random variables. Consider . Suppose there exists satisfying

then .

The following proposition stems from the proof of Neyman-Pearson lemma. The result is not quite intuitive, and is there any easier proof?

Proposition 1Let are two random variables. Consider . Suppose there exists satisfying

then .

%d bloggers like this: