منابع مشابه
Testing for Stochastic Dominance Efficiency
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear and mixed integer programmin...
متن کاملTesting for Restricted Stochastic Dominance
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to define and focus on restricted stochastic dominance, the only empirically useful form of dominance rel...
متن کاملConditional Stochastic Dominance Testing
This article proposes bootstrap-based stochastic dominance tests for nonparametric conditional distributions and their moments. We exploit the fact that a conditional distribution dominates the other if and only if the di¤erence between the marginal joint distributions is monotonic in the explanatory variable for each value of the dependent variable. The proposed test statistic compares restric...
متن کاملTesting Generalized Lorenz Dominance
It is well known that the property of generalized Lorenz dominance (GLD) between two distributions is a scaled Lorenz dominance, where the scale factor is the ratio of the two finite positive means. It is convenient to test the GLD property between any pair of distributions because, the property is equivalent to the so-called second order stochastic dominance (SSD), whose statistical tests may ...
متن کاملEfficient Dominance Testing for Unconditional Preferences
We study a dominance relation for comparing outcomes based on unconditional qualitative preferences and compare it with its unconditional counterparts for TCP-nets and their variants. Dominance testing based on this relation can be carried out in polynomial time by evaluating the satisfiability of a logic formula.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1549806