# Statistical Information: A Bayesian Perspective

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## Abstract

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## 1. Introduction

“Information is what it does for you, it changes your opinion”.

- Information about what?

- Where is the information?

- How is information extracted?

- How much information is extracted?

## 2. Definitions

## 3. Information after an Experiment is Performed

#### 3.1. Statistical Principles and Information

**Theorem 1**The Sufficiency and the Conditionality Principles hold iff the Likelihood Principle holds.

#### 3.2. Information in the Observation

i/j | 0 | 1 | 2 |
---|---|---|---|

1 | 0.33 | 0.67 | - |

2 | 0.20 | 0.50 | 0.80 |

3 | 0 | 0.50 | 1 |

- The Euclidean distance: $In{f}_{E}({X}_{i},{x}_{i},\theta )=\sqrt{\sum _{j}{\left(\right)}^{P}2}$.
- $In{f}_{V}({X}_{i},{x}_{i},\theta )={[E\left(\theta \right|{X}_{i}={x}_{i})-E\left(\theta \right)]}^{2}$.
- Kullback–Leibler divergence: $In{f}_{KL}({X}_{i},{x}_{i},\theta )=\sum _{j}P(\theta =j|{X}_{i}={x}_{i})log\left(\right)open="("\; close=")">\frac{P(\theta =j|{X}_{i}={x}_{i})}{P(\theta =j)}$.

**Table 2.**From left to right, tables for $In{f}_{E}({X}_{i},j,\theta )$, $In{f}_{V}({X}_{i},j,\theta )$ and $In{f}_{KL}({X}_{i},j,\theta )$.

i/j | 0 | 1 | 2 | i/j | 0 | 1 | 2 | i/j | 0 | 1 | 2 |
---|---|---|---|---|---|---|---|---|---|---|---|

1 | 0.23 | 0.23 | - | 1 | 0.03 | 0.03 | - | 1 | 0.02 | 0.02 | - |

2 | 0.42 | 0 | 0.42 | 2 | 0.09 | 0 | 0.09 | 2 | 0.08 | 0 | 0.08 |

3 | 0.7 | 0 | 0.7 | 3 | 0.25 | 0 | 0.25 | 3 | 0.30 | 0 | 0.30 |

## 4. Information before an Experiment is Performed

#### 4.1. Blackwell Sufficiency

- For any $y\in \mathcal{X}\left(Y\right)$, $H(\xb7,y)$ is measurable on the σ-algebra induced by X, ${\Im}_{|X}$.
- For any $x\in \mathcal{X}\left(X\right)$, $H(x,\xb7)$ is a probability (density) function defined on $(\mathcal{X}\left(Y\right),{\Im}_{|Y})$.
- For any $y\in \mathcal{X}\left(Y\right)$, $p\left(y\right|\theta )=E(H(X,y)\left|\theta \right)$, the conditional expectation of $H(X,y)$ given θ.

**Example 1**Let X and Y be two experiments, π a quantity of interest in $[0,1]$ and q and p known constants in $[0,1]$. Representing the Bernoulli distribution with parameter p by Ber$\left(p\right)$, consider also that the conditional distributions of X and Y given π are, respectively:

**Example 2**Next, we generalize the example of Section 3.2. Consider an urn with N balls. θ of these balls are black and $N-\theta $ are white. $n\phantom{\rule{3.33333pt}{0ex}}(\le N)$ balls are drawn from the urn.

- Conditionally on θ, ${X}_{1}\sim \mathrm{Ber}\left(\right)open="("\; close=")">\frac{\theta}{N}$;
- Conditionally on θ, ${X}_{1},\dots ,{X}_{n}$ are identically distributed;
- ${X}_{i+1}$ is conditionally independent of $({X}_{i},\dots ,{X}_{1})$ given θ, $\forall i\in \{1,\dots ,n-1\}$.

- Conditionally on θ, ${Y}_{1}\sim \mathrm{Ber}\left(\right)open="("\; close=")">\frac{\theta}{N}$;
- ${Y}_{i+1}|({y}_{i},\dots ,{y}_{1},\theta )\sim \mathrm{Ber}\left(\right)open="("\; close=")">\frac{\theta -{\sum}_{j=1}^{i}{y}_{j}}{N-i}$,$\forall i\in \{1,\dots ,n-1\}$, $\forall ({y}_{i},\dots ,{y}_{1})\in {\{0,1\}}^{i}$.

- ${A}_{i+1}\sim \mathrm{Ber}\left(\right)open="("\; close=")">\frac{N-i}{N}$, and is independent of all other variables;
- ${B}_{i+1}|{T}_{i}={t}_{i}\sim \mathrm{Ber}\left(\right)open="("\; close=")">\frac{{t}_{i}}{i}$;
- $\forall i\in \{1,\dots ,n\}$, conditionally on ${T}_{i}={t}_{i}$, ${B}_{i}$ is jointly independent of $({A}_{1},\dots ,{A}_{n}),({B}_{1},\dots ,{B}_{i-1}),({Y}_{i+1},\dots ,{Y}_{n})$ and θ.

#### 4.2. Equivalence Relation in Experiment Information

**Theorem 2**Let $X\in \mathcal{X}$ and $Y\in \mathcal{Y}$ be two experiments. $X\approx Y$ iff, for every likelihood function $L(\xb7)$,

**Lemma 1**Consider a Markov Chain on a countable space $\mathcal{X}$ with a transition matrix M and no transient states. Let M have irreducible components $C\left(1\right)$, …, $C\left(n\right)$, …. Then, there exists an unique set of probability functions $\{{p}_{j}(\xb7):j\in N\}$, with ${p}_{j}\left(x\right)$ defined in $\{1,\dots ,|C\left(j\right)\left|\right\}$, such that all invariant measures (μ) of M can be written as the following:

For any information function, $Inf$, satisfying the Likelihood Principle — if x and y yield proportional likelihood functions, then $Inf(X,x,\theta )=Inf(Y,y,\theta )$ —, X is Blackwell Equivalent to Y, if and only if, the distribution of $(Inf,\theta )$ for X and Y are the same.

#### 4.3. Experiment Information Function

## 5. Conclusions

## Acknowledgments

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**MDPI and ACS Style**

Stern, R.B.; Pereira, C.A.d.B.
Statistical Information: A Bayesian Perspective. *Entropy* **2012**, *14*, 2254-2264.
https://doi.org/10.3390/e14112254

**AMA Style**

Stern RB, Pereira CAdB.
Statistical Information: A Bayesian Perspective. *Entropy*. 2012; 14(11):2254-2264.
https://doi.org/10.3390/e14112254

**Chicago/Turabian Style**

Stern, Rafael B., and Carlos A. de B. Pereira.
2012. "Statistical Information: A Bayesian Perspective" *Entropy* 14, no. 11: 2254-2264.
https://doi.org/10.3390/e14112254