Minimum sum of errors in a simple hypothesis test

ID: minimum-sum-of-errors-in-a-simple-hypothesis-test

For two simple hypotheses with probability densities , a critical region has sum of Type I error and Type II error probabilities . Pointwise minimization chooses , with either decision allowed on the equality set. Thus the optimal likelihood ratio threshold is , and the minimum is . This criterion weights the two error probabilities equally; unequal costs or prior probabilities change the threshold.

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