Comparison of Statistical Experiments

A comprehensive treatment of statistical experiments and an essential reference for mathematical statisticians.

Erik Torgersen (Author)

9780521250306, Cambridge University Press

Hardback, published 14 March 1991

696 pages
23.4 x 15.6 x 3.8 cm, 1.14 kg

"...impressive volume....It is very rich in content and replete with examples....quite self contained and fairly easy to read." Lucin Le Cam, SIAM Review

There are a number of important questions associated with statistical experiments: when does one given experiment yield more information than another; how can we measure the difference in information; how fast does information accumulate by repeating the experiment? The means of answering such questions has emerged from the work of Wald, Blackwell, LeCam and others and is based on the ideas of risk and deficiency. The present work which is devoted to the various methods of comparing statistical experiments, is essentially self-contained, requiring only some background in measure theory and functional analysis. Chapters introducing statistical experiments and the necessary convex analysis begin the book and are followed by others on game theory, decision theory and vector lattices. The notion of deficiency, which measures the difference in information between two experiments, is then introduced. The relation between it and other concepts, such as sufficiency, randomisation, distance, ordering, equivalence, completeness and convergence are explored. This is a comprehensive treatment of the subject and will be an essential reference for mathematical statisticians.

Preface
Acknowledgements
1. Statistical experiments within the measure theoretical framework
2. Convexity
3. Two-person, zero-sum games
4. Statistical decision problems
5. Vector lattices
6. Deficiencies
7. Equivalence, representations and functionals of experiments
8. Comparison of linear models
9. Majorisation and approximate majorisation
10. Complements: Further examples, problems and comments
List of symbols
Author index
Additional references
Subject index.

Subject Areas: Probability & statistics [PBT]