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 ...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.展开更多
基金This work is supported by Grants from the Natural Science Foundation of China （11271039） Specialized Research Fund for the Doctoral Program of Higher Education+2 种基金 Research Fund of Weifang University （2011Z24） Funding Project of Science and Technology Research Plan of Weifang City （201301019） The Natural Science Foundation of Shandong （ZR2013FL032）.
文摘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.
