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Whenever we have two probability distributions \\(p\\) and \\(q\\) on the same set \\(X\\), we define the information of \\(q\\) relative to \\(p\\) asNEWLINE\\[CARRIAGE_RETURNNEWLINES(q,p)=\\sum_{x\\in X}q_{x}\\ln\\left( \\frac{q_{x}}{p_{x}}\\right)CARRIAGE_RETURNNEWLINE\\]NEWLINEwhere \\(q_{x}\\ln\\left( \\frac{q_{x}}{p_{x}}\\right) \\) is set equal to \\(\\infty\\) when \\(p_{x}=0\\), unless \\(q_{x}\\) is also \\(0\\), in which case it is set equal to \\(0\\).NEWLINENEWLINEBayesian probability theory emphasizes the role of the prior so that relative entropy naturally lends itself to a Bayesian interpretation [\\textit{P. Baldi} and \\textit{L. Itti}, Neural Netw. 23, No. 5, 649--666 (2010; Zbl 1401.62225)]. The goal of this paper is to make this precise in a mathematical characterization of relative entropy. The authors consider a category \\(\\mathtt{FinStat}\\), where an object \\((X,q)\\) is a finite set \\(X\\) gifted with a probability distribution \\(x\\mapsto q_{x}\\), while a morphism \\((f,s):(X,q)\\rightarrow(Y,r)\\) is a measure-preserving function \\(f:X\\rightarrow Y\\) hand in hand with a probability distribution \\(x\\mapsto s_{xy}\\) on \\(X\\) for each element \\(y\\in Y\\) with the property \\(s_{xy}=0\\) unless \\(f(x)=y\\). NEWLINENEWLINEIntuitively speaking, an object of \\(\\mathtt{FinStat}\\) is to be thought of a system with some finite set of states as well as a probanility distribution on it. A morphism \\((f,s):(X,q)\\rightarrow(Y,r)\\) is a deterministic measuring process \\(f:X\\rightarrow Y\\) mapping states of some system under measurement to those of a measuring apparatus as well as a hypothesis \\(s\\) meaning the probability \\(s_{xy}\\) that the system under measurement is in the state \\(x\\) given any measurement outcome \\(y\\in Y\\).NEWLINENEWLINEGiven a morphism \\((f,s):(X,q)\\rightarrow(Y,r)\\) in \\(\\mathtt{FinStat}\\), the authors defineNEWLINE\\[CARRIAGE_RETURNNEWLINE\\mathrm{RE}(f,s)=S(q,p)CARRIAGE_RETURNNEWLINE\\]NEWLINEwhereNEWLINE\\[CARRIAGE_RETURNNEWLINEp_{x}=s_{xf(x)}r_{f(x)}CARRIAGE_RETURNNEWLINE\\]NEWLINEand \\(s\\) is said to be \\textit{optimal} as long as the above equation gives a prior \\(p\\) equal to the true probability distribution \\(q\\) on the states of the system under measurement. It is nontrivial and rather interesting to establish the fact thatNEWLINE\\[CARRIAGE_RETURNNEWLINE\\mathrm{RE}:\\mathtt{FinStat}\\rightarrow [0,\\infty]CARRIAGE_RETURNNEWLINE\\]NEWLINEwhere \\([0,\\infty]\\) is thought of a category with one object, the nonnegative real numbers with \\(\\infty\\) as morphisms whose composition is simply addition. The functoriality of \\(\\mathrm{RE}\\) claims that, givenNEWLINE\\[CARRIAGE_RETURNNEWLINE(X,q) \\xrightarrow{(f,s)} (Y,r) \\xrightarrow{(g,t)} (Z,u)CARRIAGE_RETURNNEWLINE\\]NEWLINEwe haveNEWLINE\\[CARRIAGE_RETURNNEWLINE\\mathrm{RE}\\left((g,t) \\circ (f,s)\\right)=\\mathrm{RE}(g,t) +\\mathrm{RE}(f,s)CARRIAGE_RETURNNEWLINE\\]NEWLINEThe main result of this paper (Theorem 3.1), which was inspired by \\textit{D. Petz} [Acta Math. 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