An improved bootstrap test of stochastic dominance

An improved bootstrap test of density ratio ordering

Two probability distributions with common support are said to exhibit density ratio ordering when they admit a nonincreasing density ratio. Existing statistical tests of the null hypothesis of density ratio ordering are known to be conservative, with null limiting rejection rates below the nominal significance level whenever the two distributions are unequal. We show how a bootstrap procedure c...

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

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 transf...

A Bootstrap Test of Stochastic Equality of Two Populations

When comparing two variables with nonnormal distributions, application of the Wilcoxon-Mann-Whitney test (WMW) is a common choice. However, it is only valid to test the null hypothesis stating equality of the distributions. Sometimes the hypothesis of interest is H0 : P (X < Y ) = P (X > Y ) against P (X < Y ) / = P (X > Y ), called stochastic equality and inequality. Here we propose a bootstra...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

A nonparametric test of stochastic dominance in multivariate distributions

The literature on statistical test of stochastic dominance has thus far been concerned with univariate distributions. This paper presents nonparametric statistical tests for multivariate distributions. This allows a nonparametric treatment of multiple welfare indicators. These test are applied to a time series of cross-section datasets on household level total expenditure and non labour market ...