Ordering univariate distributions by entropy and variance
This paper examines the role of variance and entropy in ordering distributions and random prospects. There is no universal relation between entropy and variance orderings of distributions. But we place their relationship in the context of a stronger ordering relation known as dispersion ordering. Fu...
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| Veröffentlicht in: | Journal of econometrics 1999-06, Vol.90 (2), p.317-336 |
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| container_end_page | 336 |
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| container_title | Journal of econometrics |
| container_volume | 90 |
| creator | Ebrahimi, Nader Maasoumi, Esfandiar Soofi, Ehsan S. |
| description | This paper examines the role of variance and entropy in ordering distributions and random prospects. There is no universal relation between entropy and variance orderings of distributions. But we place their relationship in the context of a stronger ordering relation known as
dispersion ordering. Further, some conditions are identified under which variance and entropy order similarly when continuous variables are transformed. We also analyze parametric changes which do not disturb the agreement between these rankings. The results are conveniently tabulated in terms of distribution parameters. |
| doi_str_mv | 10.1016/S0304-4076(98)00046-3 |
| format | Article |
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| ispartof | Journal of econometrics, 1999-06, Vol.90 (2), p.317-336 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38715597 |
| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Distribution theory Econometrics Entropy Exact sciences and technology Information theory Linear inference, regression Mathematics Ordering relations Parametric inference Probability and statistics Risk Sciences and techniques of general use Statistics Studies Variance Volatility |
| title | Ordering univariate distributions by entropy and variance |
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