The Annals of Statistics

Comparison of Experiments and Information Measures

Prem K. Goel and Morris H. DeGroot

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Abstract

Let $\mathscr{E}_x = \{X, S_X; P_\theta, \theta\in\Theta\}$ and $\mathscr{E}_Y = \{Y, S_Y; Q_\theta, \theta\in\Theta\}$ be two statistical experiments with the same parameter space $\Theta$. Some implications of the sufficiency of $\mathscr{E}_X$ for $\mathscr{E}_Y$, according to Blackwell's definition, are given in terms of Kullback-Leibler information and Fisher information matrices. For a scale parameter $\theta$, and $k_1 > k_2 > 0$, the experiment with parameter $\theta^{k_1}$ is proved to be sufficient for the experiment with parameter $\theta^{k_2}$ for a class of distributions including the gamma distribution and the normal distribution with known mean. Some results of Stone are generalized to the class of experiments with both location and scale parameters. A concept of sufficiency is proposed in which $\mathscr{E}_X$ is more informative than $\mathscr{E}_Y$ for a fixed prior distribution of $\theta$ if the expected Bayes risk from $\mathscr{E}_X$ is not greater than that from $\mathscr{E}_Y$ for every decision problem involving $\theta$. This concept is then used to develop a definition of marginal Bayesian sufficiency in the presence of nuisance parameters.

Article information

Source
Ann. Statist., Volume 7, Number 5 (1979), 1066-1077.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176344790

Digital Object Identifier
doi:10.1214/aos/1176344790

Mathematical Reviews number (MathSciNet)
MR536509

Zentralblatt MATH identifier
0412.62004

JSTOR
links.jstor.org

Subjects
Primary: 62B15: Theory of statistical experiments
Secondary: 62B10: Information-theoretic topics [See also 94A17]

Keywords
Comparison of experiments Kullback-Leibler information Fisher information matrix Bayes risk marginal Bayesian sufficiency informative experiment self-decomposable characteristic functions

Citation

Goel, Prem K.; DeGroot, Morris H. Comparison of Experiments and Information Measures. Ann. Statist. 7 (1979), no. 5, 1066--1077. doi:10.1214/aos/1176344790. https://projecteuclid.org/euclid.aos/1176344790


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