Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

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.


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

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