Accession Number:

ADA209090

Title:

Stein's Lemma - A Large Deviations Approach

Descriptive Note:

Interim rept.

Corporate Author:

NAVAL RESEARCH LAB WASHINGTON DC

Personal Author(s):

Report Date:

1989-03-21

Pagination or Media Count:

13.0

Abstract:

This report proves Steins Lemma by using a Large Deviations principle. The authors proof is general, direct, and intuitive. We represent the log-likelihood ratio used to test between the two hypotheses on the basis of the first n observations as a sample mean of i.i.d. observations. Led by the Strong Law of Large Numbers, we formulate a series of hypothesis tests that bound the true Neyman-Pearson tests. We then determine the asymptotic behavior of these tests by using arguments from the proof of Cramers Theorem. The conclusion of Steins Lemma follows.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE