The Statistical Information Contained in Additional Observations
Mammen, Enno
Ann. Statist., Tome 14 (1986) no. 2, p. 665-678 / Harvested from Project Euclid
Let $\mathscr{E}^n$ be a statistical experiment based on $n$ i.i.d. observations. We compare $\mathscr{E}^n$ with $\mathscr{E}^{n+r_n}$. The gain of information due to the $r_n$ additional observations is measured by the deficiency distance $\Delta (\mathscr{E}^n, \mathscr{E}^{n+r_n})$, i.e., the maximum diminution of the risk functions. We show that under general dimensionality conditions $\Delta(\mathscr{E}^n, \mathscr{E}^{n+r_n})$ is of order $r_n/n$. Further the behavior of $\Delta$ is studied and compared for asymptotically Gaussian experiments. We show that the information gain increases logarithmically. The Gaussian and the binomial family turn out to be--in some sense--opposite extreme cases, with the increase of information asymptotically minimal in the Gaussian case and maximal in the binomial.
Publié le : 1986-06-14
Classification:  Experiments,  deficiency,  information,  additional observations,  62B15
@article{1176349945,
     author = {Mammen, Enno},
     title = {The Statistical Information Contained in Additional Observations},
     journal = {Ann. Statist.},
     volume = {14},
     number = {2},
     year = {1986},
     pages = { 665-678},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349945}
}
Mammen, Enno. The Statistical Information Contained in Additional Observations. Ann. Statist., Tome 14 (1986) no. 2, pp.  665-678. http://gdmltest.u-ga.fr/item/1176349945/