Econometrica: Jan 2021, Volume 89, Issue 1
From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again
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"
This online appendix contains material not found within the manuscript.