The Annals of Mathematical Statistics

On a Measure of the Information Provided by an Experiment

D. V. Lindley

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A measure is introduced of the information provided by an experiment. The measure is derived from the work of Shannon [10] and involves the knowledge prior to performing the experiment, expressed through a prior probability distribution over the parameter space. The measure is used to compare some pairs of experiments without reference to prior distributions; this method of comparison is contrasted with the methods discussed by Blackwell. Finally, the measure is applied to provide a solution to some problems of experimental design, where the object of experimentation is not to reach decisions but rather to gain knowledge about the world.

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Ann. Math. Statist. Volume 27, Number 4 (1956), 986-1005.

First available in Project Euclid: 28 April 2007

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Lindley, D. V. On a Measure of the Information Provided by an Experiment. Ann. Math. Statist. 27 (1956), no. 4, 986--1005. doi:10.1214/aoms/1177728069.

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