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Testing against second-order stochastic dominance of multiple distributions. (English) Zbl 1312.62023

Summary: 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.

MSC:

62E15 Exact distribution theory in statistics
62H10 Multivariate distribution of statistics
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