From Blackwell dominance in large samples to Rényi divergences and back again

DOI10.3982/ECTA17548MaRDI QIDQ5012771zbMATH OpenOpenAlexFDO

Authors Xiaosheng Mu, Luciano Pomatto, Philipp Strack, Omer Tamuz

Publication date 25 November 2021

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.02838

zbMATH Keywords

stochastic dominancecomparison of experimentsdivergences

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Inequalities; stochastic orderings (60E15) Theory of statistical experiments (62B15)

Abstract: We study repeated independent Blackwell experiments; standard examples include drawing multiple samples from a population, or performing a measurement in different locations. In the baseline setting of a binary state of nature, we compare experiments in terms of their informativeness in large samples. Addressing a question due to Blackwell (1951), we show that generically an experiment is more informative than another in large samples if and only if it has higher Renyi divergences. We apply our analysis to the problem of measuring the degree of dissimilarity between distributions by means of divergences. A useful property of Renyi divergences is their additivity with respect to product distributions. Our characterization of Blackwell dominance in large samples implies that every additive divergence that satisfies the data processing inequality is an integral of Renyi divergences.

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Cited in

(2)

• Asymptotic Rényi entropies of random walks on groups
• Geometric relative entropies and barycentric Rényi divergences

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