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The authors measure the total risk up to time \\(n\\) by the Kullback-Leibler divergence \\(R_{n,\\widehat P}(\\theta^*)=D_{KL} (P^n_{\\theta^*} \\|\\widehat P)\\) where \\(\\widehat P\\) is the product measure of the \\(\\widehat P_t\\). Using this risk the authors introduce the minimax as well as the Bayes strategy. It turns out that the Bayes risk is the mutual information \\(I (\\Theta^*;Y^n)\\) of the random parameter \\(\\Theta^*\\) and the sample \\(Y^n\\).   Let \\(M_{n,\\mu}\\) be the marginal distribution of \\(Y^n\\) if \\(\\Theta^*\\) has distribution \\(\\mu\\). The main results in the first part of the paper concern two-sided bounds of \\(I(\\Theta^*;Y^n)\\) and \\(D_{KL}(P^n_{\\theta^*}\\| M_{n,\\mu})\\) in terms of Renyi distances \\(I_\\alpha (P_{\\theta^*}, P_{\\tilde\\theta})\\) of order \\(\\alpha\\) and \\(I_1 (P_{\\theta^*},Q^{\\tilde\\theta})\\) where \\(Q_\\theta\\) is the distribution of \\(Y\\) given \\(\\theta\\). 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