Multi-sample test based on bootstrap methods for second order stochastic dominance | Zendy

Jianling Zhang | Zendy

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Multi-sample test based on bootstrap methods for second order stochastic dominance

Author(s) -

Jianling Zhang

Publication year - 2014

Publication title -

hacettepe journal of mathematics and statistics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.312

H-Index - 26

ISSN - 1303-5010

DOI - 10.15672/hjms.2014137464

Subject(s) - mathematics , stochastic dominance , stochastic ordering , statistics , test (biology) , dominance (genetics) , order (exchange) , sample (material) , econometrics , ecology , biology , chemistry , chromatography , biochemistry , finance , economics , gene

Statistical inferences under second order stochastic dominance for two sample case has a long and rich history. But the k(≥ 2) sample case has not been well studied. In this article we consider k(≥ 2) sample test for the equality of distribution functions against second order stochastic dominance alternative. A test statistic is constructed with isotonic regression estimates of stop-loss transform functions, and the asymptotic distribution of the proposed test is given. A bootstrap procedure is employed to obtain the p-value of the test, and some simulation results are presented to illustrate the proposed test method. 2000 AMS Classification: 62F15, 62G08.

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