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作者:

Zhang, Jianling (Zhang, Jianling.) | Zhang, Zhongzhan (Zhang, Zhongzhan.) (学者:张忠占) | Wang, Weizhen (Wang, Weizhen.)

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Scopus SCIE

摘要:

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.

关键词:

Second-order stochastic dominance weak convergence hypothesis testing asymptotic distribution

作者机构:

  • [ 1 ] [Zhang, Jianling]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Zhang, Zhongzhan]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 3 ] [Wang, Weizhen]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 4 ] [Zhang, Jianling]Weifang Univ, Sch Math & Informat Sci, Weifang 261061, Peoples R China
  • [ 5 ] [Wang, Weizhen]Wright State Univ, Dept Math & Stat, Dayton, OH 45435 USA

通讯作者信息:

  • 张忠占

    [Zhang, Zhongzhan]Beijing Univ Technol, Coll Appl Sci, 100 Pingleyuan, Beijing 100124, Peoples R China

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来源 :

INTERNATIONAL JOURNAL OF BIOMATHEMATICS

ISSN: 1793-5245

年份: 2015

期: 3

卷: 8

2 . 2 0 0

JCR@2022

ESI学科: BIOLOGY & BIOCHEMISTRY;

ESI高被引阀值:254

JCR分区:3

中科院分区:4

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