Growth-Optimal E-Variables and an extension to the multivariate Csiszár-Sanov-Chernoff Theorem

Abstract

We consider growth-optimal e-variables with maximal e-power, both in an absolute and relative sense, for simple null hypotheses for a $d$-dimensional random vector, and multivariate composite alternatives represented as a set of $d$-dimensional means $\meanspace_1$. These include, among others, the set of all distributions with mean in $\meanspace_1$, and the exponential family generated by the null restricted to means in $\meanspace_1$. We show how these optimal e-variables are related to Csiszár-Sanov-Chernoff bounds, first for the case that $\meanspace_1$ is convex (these results are not new; we merely reformulate them) and then for the case that $\meanspace_1$ `surrounds' the null hypothesis (these results are new).

28 pages