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Testing variability orderings by using Gini’s mean differences. (English) Zbl 1487.62039

Summary: In this paper, we derive a measure of discrepancy based on the Gini’s mean difference to test the null hypothesis that two random variables, which are ordered in a variability-type stochastic order, are equally dispersive versus the alternative that one strictly dominates the other. We describe the test, evaluate its performance under a variety of situations and illustrate the procedure with an example using log returns of real data.

MSC:

62G10 Nonparametric hypothesis testing
60E15 Inequalities; stochastic orderings
62P20 Applications of statistics to economics
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