Universal Reverse Information Projections and Optimal E-statistics

Information projections have found many important applications in probability theory, statistics, and related fields. In the field of hypothesis testing in particular, the reverse information projection (RIPr) has recently been shown to lead to so-called growth-rate optimal (GRO) e-statistics for testing simple alternatives against composite null hypotheses. However, the RIPr as well as the GRO criterion are only defined in cases where the infimum information divergence between the null and alternative is finite. Here, we show that under much weaker conditions there often still exists an element in the alternative that is ‘closest’ to the null: the universal reverse information projection. The universal reverse information projection and its non-universal counterpart coincide whenever the KL is finite, and the strictness of this generalization will be shown by an example. Furthermore, the universal RIPr leads to optimal e-statistics in a sense that is a novel, but natural, extension of the GRO criterion. Finally, we discuss conditions under which the universal RIPr is a strict sub-probability distributions, and conditions under which an approximation of the universal RIPr leads to approximate e-statistics.