Write , , and choose
Take a -net of in , with centers in . Since every alternative lies in the -dimensional Euclidean ball of radius , the volumetric covering bound gives
for all large . Put and define the Gaussian net test
The inner products are well-defined Gaussian linear functionals because . Under ,
and . A Gaussian tail bound and a union bound give
For any , choose with . Then
Another Gaussian tail bound gives
Because , the entropy term in the type-I bound is dominated by the signal exponent when is sufficiently large. Also implies eventually, so . Given , choose large enough to obtain
Enlarging if necessary handles the finitely many initial .