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

Year 2015, Volume: 44 Issue: 2, 503 - 512, 01.04.2015

Jianling Zhang Zhongzhan Zhang

Abstract

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. 

Keywords

second order stochastic dominance, stop-loss transform, isotonic regression estimation, bootstrap critical values

References

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