Information in additional observations of a non-parametric experiment that is not estimable
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Given n independent and identically distributed observations and measuring the value of obtaining an additional observation in terms of Le Cam's notion of deficiency between experiments we show for certain types of non-parametric experiments that the value of an additional observation decreases at a rate of 1/√(n). This is distinct from the known typical decrease at a rate of 1/n for parametric experiments and non-decreasing value in the case of very large experiments. In particular the rate of 1/√(n) holds for the experiment given by observing samples from a density about which we know only that it is bounded from below by some fixed constant. Thus there exists an experiment where the value of additional observations tends to zero but for which no consistent, in total variation distance, estimator exists.
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