A TEST FOR 2ND-ORDER STOCHASTIC-DOMINANCE

被引：10

作者：

EUBANK, R

SCHECHTMAN, E

YITZHAKI, S

机构：

[1] TEXAS A&M UNIV SYST,COLL STN,TX 77843

[2] HEBREW UNIV JERUSALEM,IL-76100 REHOVOT,ISRAEL

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1993年 / 22卷 / 07期

关键词：

2ND DEGREE STOCHASTIC DOMINANCE; GINI MEAN DIFFERENCE;

D O I：

10.1080/03610929308831123

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we propose a test for second order stochastic dominance (SSD), for the case where both distribution functions are unknown. This is a generalization of a test proposed by Deshpande and Singh (1985), who compare a new random prospect with a known distribution function. We then show that our test is based on comparing the mean minus one half of Gini's mean difference of the distributions, which is known to be a necessary condition for SSD, as developed in the economics literature (Yitzhaki, 1982).

引用

页码：1893 / 1905

页数：13

共 20 条

[1] JACKKNIFING U-STATISTICS [J].