Testing Against Second-Order Stochastic Dominance of Multiple Distributions

Authors

Jianling Zhang, Beijing University of Technology
Zhongzhan Zhang, Beijing University of Technology
Weizhen Wang, Wright State University - Main CampusFollow

Document Type

Article

Publication Date

5-12-2015

Identifier/URL

40899174 (Pure)

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Abstract

Second-order stochastic dominance plays an important role in reliability and various branches of economics such as finance and decision-making under risk, and statistical testing for the stochastic dominance is often useful in practice. In this paper, we present a test of stochastic equality under the constraint of second-order stochastic dominance based on the theory of empirical processes. The asymptotic distribution of the test statistic is obtained, and a simple method to compute the critical value is derived. Simulation results and real data examples are presented to illustrate the proposed test method.

Comments

Publisher Copyright: © 2015 World Scientific Publishing Company.

Repository Citation

Zhang, J., Zhang, Z., & Wang, W. (2015). Testing Against Second-Order Stochastic Dominance of Multiple Distributions. International Journal of Biomathematics, 8 (3).
https://corescholar.libraries.wright.edu/math/499

DOI

10.1142/S1793524515500400