Timeline for What is the intuition behind Blackwell's Equivalence Theorem on Information Structures?
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| Jan 10, 2022 at 15:20 | comment | added | Michael Greinecker | The standard reference for these kinds of questions is the book "Mathematical theory of Statistics" by Strasser, which makes for really, really hard reading. The most readable reference I know is Chapter 1 of the book "Statistical Experiments and Decisions: Asymptotic Theory" by Shiryaev and Spokoiny, which is still quite technical. There you can look for the assumption that a statistical experiment is "dominated," which means that each probability measure admits a density with respect to a single $\sigma$-finite measure. | |
| Jan 10, 2022 at 13:10 | comment | added | djsteve | @MichaelGreinecker Thank you for your comment. Can you elaborate more on densities issues? any references would be helpful | |
| Jan 9, 2022 at 17:15 | comment | added | Michael Greinecker | Actually, infinite versions of the theorem usually require a lot more than some measurability assumptions. Usually, one needs to assume the existence of densities. | |
| Jan 9, 2022 at 15:35 | history | edited | djsteve | CC BY-SA 4.0 |
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| Jan 9, 2022 at 15:24 | vote | accept | Hunger Learn | ||
| S Jan 9, 2022 at 15:17 | review | First answers | |||
| Jan 9, 2022 at 16:15 | |||||
| S Jan 9, 2022 at 15:17 | history | answered | djsteve | CC BY-SA 4.0 |