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Tuesday, September 17, 2019 at 4:15pm to 5:45pm
Uris Hall, 498
Omer Tamuz - Caltech
Blackwell Dominance in Large Samples (joint w/Xiaosheng Mu, Luciano Pomatto & Philipp Strack)
Abstract: We study repeated independent Blackwell experiments; standard examples include drawing multiple samples from a population, or performing a measurement in different locations. In the baseline setting of a binary state of nature, we compare experiments in terms of their informativeness in large samples. Addressing a question due to Blackwell (1951) we show that generically, an experiment is more informative than another in large samples if and only if it has higher Rényi divergences. As an application of our techniques we in addition provide a novel characterization of kth-order stochastic dominance as second-order stochastic dominance of large i.i.d. sums.