Econometrica: Jan 2021, Volume 89, Issue 1

From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again

https://doi.org/10.3982/ECTA17548
p. 475-506

Xiaosheng Mu, Luciano Pomatto, Philipp Strack, Omer Tamuz

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 Rényi divergences.



Log In To View Full Content

Supplemental Material

Supplement to "From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again"

This online appendix contains material not found within the manuscript.

Read More View PDF



Back