Changes in utility as information (Q1062589): Difference between revisions

In a Bayesian approach framework the measurement of the amount of information about some parameter that is present in an observation is studied. The expected information is defined to be the difference between guaranteed expected utilities under the prior and posterior distribution of the parameter. Some properties of the expected information are obtained, among them the additivity of it for subsequent observations. Also, the distribution of information and a concept of retrospective information are investigated.