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Ordering univariate distributions by entropy and variance


  • Ebrahimi, Nader
  • Maasoumi, Esfandiar
  • Soofi, Ehsan S.


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  • Ebrahimi, Nader & Maasoumi, Esfandiar & Soofi, Ehsan S., 1999. "Ordering univariate distributions by entropy and variance," Journal of Econometrics, Elsevier, vol. 90(2), pages 317-336, June.
  • Handle: RePEc:eee:econom:v:90:y:1999:i:2:p:317-336

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    References listed on IDEAS

    1. Maasoumi, Esfandiar & Theil, Henri, 1979. "The effect of the shape of the income distribution on two inequality measures," Economics Letters, Elsevier, vol. 4(3), pages 289-291.
    2. A. B. Atkinson & F. Bourguignon, 1982. "The Comparison of Multi-Dimensioned Distributions of Economic Status," Review of Economic Studies, Oxford University Press, vol. 49(2), pages 183-201.
    3. Zellner, Arnold, 1996. "Models, prior information, and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 75(1), pages 51-68, November.
    4. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
    5. Holm, Juhani, 1993. "Maximum entropy Lorenz curves," Journal of Econometrics, Elsevier, vol. 59(3), pages 377-389, October.
    6. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
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    Cited by:

    1. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 6(1), pages 1-25, October.
    2. Mazzuchi, T.A & Soofi, E.S & Soyer, R, 2000. "Computation of maximum entropy Dirichlet for modeling lifetime data," Computational Statistics & Data Analysis, Elsevier, vol. 32(3-4), pages 361-378, January.
    3. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, Reading University.
    4. Soofi, E.S. & Nystrom, P.C. & Yasai-Ardekani, M., 2009. "Executives' perceived environmental uncertainty shortly after 9/11," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3502-3515, July.
    5. Maasoumi, Esfandiar & Lugo, Maria, 2006. "The Information Basis of Multivariate Poverty Assessments," Departmental Working Papers 0603, Southern Methodist University, Department of Economics.
    6. Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 291-312, March.
    7. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
    8. Wei Pei & Qiang Fu & Dong Liu & Tian-xiao Li & Kun Cheng, 2016. "Assessing agricultural drought vulnerability in the Sanjiang Plain based on an improved projection pursuit model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 82(1), pages 683-701, May.
    9. Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012. "Generalized beta-generated distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1880-1897.
    10. Fleischhacker, Adam J. & Fok, Pak-Wing, 2015. "On the relationship between entropy, demand uncertainty, and expected loss," European Journal of Operational Research, Elsevier, vol. 245(2), pages 623-628.
    11. Koponen, I.T. & Kokkonen, T. & Nousiainen, M., 2017. "Modelling sociocognitive aspects of students’ learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 68-81.
    12. Klein, Ingo & Mangold, Benedikt, 2015. "Cumulative Paired ," FAU Discussion Papers in Economics 07/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    13. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).

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