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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

D. J. F. Nonnenmacher  and
R. Zagst
R. Zagst
Affiliation:
Dept of Mathematics & Economics, Universität Ulm, Helmholtzstr. 18, D-89069 Ulm, Germany.
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Abstract

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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.

Type
Research Article
Information
The ANZIAM Journal , Volume 36 , Issue 4 , April 1995 , pp. 389 - 398
Copyright
Copyright © Australian Mathematical Society 1995

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