The Annals of Mathematical Statistics
- Ann. Math. Statist.
- Volume 27, Number 4 (1956), 986-1005.
On a Measure of the Information Provided by an Experiment
A measure is introduced of the information provided by an experiment. The measure is derived from the work of Shannon  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.
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. http://projecteuclid.org/euclid.aoms/1177728069.