Ordering univariate distributions by entropy and variance

DOI10.1016/S0304-4076(98)00046-3zbMath1041.62501OpenAlexW2034426848WikidataQ127982538 ScholiaQ127982538MaRDI QIDQ1298472

Nader Ebrahimi, Esfandiar Maasoumi, Ehsan S. Soofi

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00046-3

zbMATH Keywords

RiskInformation theoryEntropyVolatilityOrdering relations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Statistical aspects of information-theoretic topics (62B10)

Related Items (26)

Modelling sociocognitive aspects of students' learning ⋮ On uncertainty and information properties of ranked set samples ⋮ Information measures for generalized gamma family ⋮ Dynamics of Market Power and Concentration Profiles ⋮ On the generalized cumulative residual entropy with applications in actuarial science ⋮ Predictability of operational processes over finite horizon ⋮ On the relationship between entropy, demand uncertainty, and expected loss ⋮ High frequency trading and stock index returns: a nonlinear dynamic analysis ⋮ Importance of Components for a System ⋮ Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures ⋮ Extropy: Characterizations and dynamic versions ⋮ Bayes Estimate and Inference for Entropy and Information Index of Fit ⋮ Generalized beta-generated distributions ⋮ A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES ⋮ Information-Theoretic Distribution Test with Application to Normality ⋮ Executives' perceived environmental uncertainty shortly after 9/11 ⋮ A Consistent Method for the Selection of Relevant Instruments ⋮ Some properties of the cumulative residual entropy of coherent and mixed systems ⋮ Uncertainty Quantification and Cumulative Distribution Function: How are they Related? ⋮ Properties of Entropies of Record Values in Reliability and Life Testing Context ⋮ Computation of maximum entropy Dirichlet for modeling lifetime data ⋮ Stock market uncertainty and economic fundamentals: an entropy-based approach ⋮ Information measures of kernel estimation ⋮ Lag length selection in panel autoregression ⋮ Entropy and predictability of stock market returns. ⋮ Uncertainty, information, and disagreement of economic forecasters

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Mathematical Theory of Communication
• Stochastic orders
• Models, prior information, and Bayesian analysis
• Descriptive statistics for non-parametric models. III: Dispersion
• Maximum entropy Lorenz curves
• A Bayesian approach to diagnosis of asset pricing models
• On the functional relationship between entropy and variance with related applications
• Entropy expressions and their estimators for multivariate distributions
• Some aspects of convexity useful in information theory
• On Prediction of Moving-Average Processes
• Relationships Between Some Notions Which are Common to Reliability Theory and Economics
• On the entropy of continuous probability distributions (Corresp.)
• A compendium to information theory in economics and econometrics
• On Communication of Analog Data from a Bounded Source Space
• Analytic Inequalities
• Inequalities: theory of majorization and its applications
• Dispersive ordering of distributions

This page was built for publication: Ordering univariate distributions by entropy and variance