{"title":"一阶随机优势检验","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":"{\"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}","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
摘要
我们在两个独立随机样本的背景下研究了一阶随机支配(SD)检验。我们引入了几种检验统计量,它们能有效捕捉违反支配关系的情况,尤其是在尾部区域。此外,我们还开发了一种重采样程序,用于计算这些检验的-值或临界值。所提出的检验对于正面配置的渐近 I 型错误率等于标称水平。此外,对于任何固定的替代方案,它们的幂都接近 1。通过模拟实验,我们证明在现有文献讨论的各种情况下,我们的 SD 检验优于 Donald 和 Hsu(2016 年)提出的重整检验以及 Linton 等人(2010 年)提出的积分型检验。我们还利用提出的检验分析了英国家庭收入分布随时间的变化。在此背景下,所提出的检验为潜在的支配关系提供了一些见解。
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.