A partial order on uncertainty and information

DOI10.1007/S10959-011-0375-2zbMATH Open1322.94059arXiv1108.1505OpenAlexW2041395427MaRDI QIDQ354743FDOQ354743

Authors: Jiahua Chen 

Publication date: 19 July 2013

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Information and uncertainty are closely related and extensively studied concepts in a number of scientific disciplines such as communication theory, probability theory, and statistics. Increasing the information arguably reduces the uncertainty on a given random subject. Consider the uncertainty measure as the variance of a random variable. Given the information that its outcome is in an interval, the uncertainty is expected to reduce when the interval shrinks. This proposition is not generally true. In this paper, we provide a necessary and sufficient condition for this proposition when the random variable is absolutely continuous or integer valued. We also give a similar result on Shannon information.

Full work available at URL: https://arxiv.org/abs/1108.1505

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zbMATH Keywords

Gini's mean differencenormal distributionlog-concavityCauchy distributionlikelihood ratio ordertotal positivitystochastic orderShannon informationconditional variancedispersion order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Information theory (general) (94A15) Measures of information, entropy (94A17)

Cites Work

• Approximation Theorems of Mathematical Statistics
• A Mathematical Theory of Communication
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• Stochastic orders
• Bayesian Experimental Design: A Review
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• Log-concave probability and its applications
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Cited In (7)

• Minimax estimation of a restricted mean for a one-parameter exponential family
• Uncertainty orders on the sublinear expectation space
• Information theory for correlation analysis and estimation of uncertainty reduction in maps and models
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• Uncertainty and the conditional variance
• On partial monotonic behaviour of past entropy and convolution of extropy
• On partial order characterizations of information structures

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