The Annals of Mathematical Statistics

On a Measure of the Information Provided by an Experiment

D. V. Lindley

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Abstract

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.

Article information

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

Dates
First available: 28 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aoms/1177728069

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aoms/1177728069

Mathematical Reviews number (MathSciNet)
MR83936

Zentralblatt MATH identifier
0073.14103

Citation

Lindley, D. V. On a Measure of the Information Provided by an Experiment. The Annals of Mathematical Statistics 27 (1956), no. 4, 986--1005. doi:10.1214/aoms/1177728069. http://projecteuclid.org/euclid.aoms/1177728069.


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