COMPARISON OF EXPERIMENTS WITH WEIGHTED DISTRIBUTIONS

In this paper the standard statistical experiment in which a random sample is drawn from some distribution involving an unknown parameter θ is compared with experiments in which samples are obtained from different weighted versions of that distribution, so that the underlying probability of entering the sample is multiplied by some weight function. This comparison is carried out by means of the concepts of sufficiency and pairwise sufficiency as developed in Blackwell's theory of the comparison of statistical experiments. Many examples are presented which illustrate the wide variety of effects that weight functions can have on the information about θ.