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A new form of Jensen's inequality and its application to statistical experiments
Published online by Cambridge University Press: 17 February 2009
Abstract
Jensen's inequality for the expectation of a convex function of a random variable is proved for a wide class of convex functions defined on a space of probability measures. The result is applied to statistical experiments using the concept of Blackwell-sufficiency. In particular, we show a monotonicity result for the expected information of Poisson-experiments. As an application to economics we consider the introduction of new production technologies.
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- Copyright © Australian Mathematical Society 1995