Ordering univariate distributions by entropy and variance

This paper examines the role of variance and entropy in ordering distributi ons and random prospects. There is no universal relation between entropy an d variance orderings of distributions. But we place their relationship in t he context of a stronger ordering relation known as dispersion ordering. Fu rther, some conditions are identified under which variance and entropy orde r similarly when continuous variables are transformed. We also analyze para metric changes which do not disturb the agreement between these rankings. T he results are conveniently tabulated in terms of distribution parameters. (C) 1999 Elsevier Science S.A, All rights reserved. JEL classification. C10 ; C11; C40.