{"title":"Tests for the first‐order stochastic dominance","authors":"Weiwei Zhuang, Peiming Wang, Jiahua Chen","doi":"10.1002/cjs.11811","DOIUrl":null,"url":null,"abstract":"We study the first‐order stochastic dominance (SD) test in the context of two independent random samples. We introduce several test statistics that effectively capture violations of the dominance relationship, particularly in the tail regions. Additionally, we develop a resampling procedure to compute the ‐values or critical values for these tests. The proposed tests have asymptotic type I error rates for frontal configurations equal to the nominal level . Furthermore, their powers approach 1 for any fixed alternatives. Through simulation experiments, we demonstrate that our SD tests outperform the recentring test proposed by Donald and Hsu (2016) as well as the integral‐type test presented by Linton et al. (2010) in various scenarios discussed in existing literature. We also employ the proposed tests to analyze changes in the distribution of household income in the United Kingdom over time. The proposed tests offer some insights into potential dominance relationships within this context.","PeriodicalId":501595,"journal":{"name":"The Canadian Journal of Statistics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2024-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Canadian Journal of Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1002/cjs.11811","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We study the first‐order stochastic dominance (SD) test in the context of two independent random samples. We introduce several test statistics that effectively capture violations of the dominance relationship, particularly in the tail regions. Additionally, we develop a resampling procedure to compute the ‐values or critical values for these tests. The proposed tests have asymptotic type I error rates for frontal configurations equal to the nominal level . Furthermore, their powers approach 1 for any fixed alternatives. Through simulation experiments, we demonstrate that our SD tests outperform the recentring test proposed by Donald and Hsu (2016) as well as the integral‐type test presented by Linton et al. (2010) in various scenarios discussed in existing literature. We also employ the proposed tests to analyze changes in the distribution of household income in the United Kingdom over time. The proposed tests offer some insights into potential dominance relationships within this context.