arXiv:2404.15158 · v5

On the Monotonicity of Information Measures

首次提交 2024-04-23 23:59

版本更新 2026-11-07 01:51

雷达观测 2026-11-10 11:14

摘要

We study the monotonicity of information measures, functions that assign a value to each statistical experiment, with respect to the Blackwell and Lehmann orders. We show that such monotonicity can be characterized by local, first-order conditions. Under natural invariance properties, a measure is Blackwell monotone if and only if it decreases in the direction of signal replacements, and Lehmann monotone if and only if it decreases in the direction of reverse signal replacements, which replace signals with higher ones only in low states or with lower ones only in high states. We translate both conditions into the space of posterior beliefs and apply them to likelihood-separable and posterior-separable measures, showing in particular that the entropy cost is Lehmann monotone. Among posterior-separable measures, we further identify a Lehmann monotone subclass, posterior-mean-ratio measures, that characterizes the Lehmann order.