J Austral Math Soc Ser B 36 pp389--398, 1995.

A new form of Jensen's inequality and its application to statistical experiments

D. J. F. Nonnenmacher and R. Zagst

(Received 16 February 1993; revised 22 December 1993)

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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Authors

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

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Last Modified: Mon Dec 10 10:53:48 2001