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The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals


  • Kiefer, Nicholas M.

    (Cornell University)


Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio segments, where priors on the individual default probabilities are available and the stochastic ordering is agreeable to separate experts. The ME formulation allows an efficiency improvement over separate analyses.

Suggested Citation

  • Kiefer, Nicholas M., 2009. "The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals," Working Papers 09-01, Cornell University, Center for Analytic Economics.
  • Handle: RePEc:ecl:corcae:09-01

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    1. Leonid Hurwicz, 2008. "But Who Will Guard the Guardians?," American Economic Review, American Economic Association, vol. 98(3), pages 577-585, June.
    2. Lambert-Mogiliansky, Ariane & Majumdar, Mukul & Radner, Roy, 2007. "Strategic analysis of petty corruption: Entrepreneurs and bureaucrats," Journal of Development Economics, Elsevier, vol. 83(2), pages 351-367, July.
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    4. Ariane Lambert-Mogiliansky & Mukul Majumdar & Roy Radner, 2008. "Petty corruption: A game-theoretic approach," International Journal of Economic Theory, The International Society for Economic Theory, vol. 4(2), pages 273-297.
    5. G├╝zin Bayar, 2005. "The role of intermediaries in corruption," Public Choice, Springer, vol. 122(3), pages 277-298, March.
    6. Lambsdorff,Johann Graf, 2007. "The Institutional Economics of Corruption and Reform," Cambridge Books, Cambridge University Press, number 9780521872751, March.
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