On the Information Contained in Additional Observations
Cam, Lucien Le
Ann. Statist., Tome 2 (1974) no. 1, p. 630-649 / Harvested from Project Euclid
Let $\{X_j; j = 1, 2, \cdots\}$ be independent identically distributed random variables whose individual distribution $p_\theta$ is indexed by a parameter $\theta$ in a set $\Theta$. For two integers $m < n$ the experiment $\mathscr{E}_n$ which consists in observing the first $n$ variables is more informative than $\mathscr{E}_m$. Two measures of the supplementary information are described. One is the deficiency $\delta (\mathscr{E}_m, \mathscr{E}_n)$ introduced by this author. Another is a number $\eta(\mathscr{E}_m, \mathscr{E}_n)$ called "insufficiency" and related to previous arguments of Wald (1943). Relations between $\delta$ and $\eta$ are described. One defines a dimensionality coefficient $D$ for $\Theta$ and obtains a bound of the type $\eta(\mathscr{E}_m, \mathscr{E}_n) \leqq \lbrack 2D(n - m)/n\rbrack^{\frac{1}{2}}.$ Examples show that $\delta(\mathscr{E}_m, \mathscr{E}_n)$ may stay bounded away from zero in infinite dimensional cases, even if $m \rightarrow \infty$ and $n = m + 1$.
Publié le : 1974-07-14
Classification:  6230,  Experiments,  estimates,  information,  sufficiency
@article{1176342753,
     author = {Cam, Lucien Le},
     title = {On the Information Contained in Additional Observations},
     journal = {Ann. Statist.},
     volume = {2},
     number = {1},
     year = {1974},
     pages = { 630-649},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342753}
}
Cam, Lucien Le. On the Information Contained in Additional Observations. Ann. Statist., Tome 2 (1974) no. 1, pp.  630-649. http://gdmltest.u-ga.fr/item/1176342753/