Multi-sample test based on bootstrap methods for second order stochastic dominance
نویسندگان
چکیده
منابع مشابه
Multi-sample test based on bootstrap methods for second order stochastic dominance
Statistical inferences under second order stochastic dominance for two sample case has a long and rich history. But the k(≥ 2) sample case has not been well studied. In this article we consider k(≥ 2) sample test for the equality of distribution functions against second order stochastic dominance alternative. A test statistic is constructed with isotonic regression estimates of stop-loss transf...
متن کاملElectricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints
This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...
متن کاملNumerical Methods for Second-order Stochastic Equations
We seek numerical methods for second-order stochastic differential equations that accurately reproduce the stationary distribution for all values of damping. A complete analysis is possible for linear second-order equations (damped harmonic oscillators with noise), where the statistics are Gaussian and can be calculated exactly in the continuous-time and discrete-time cases. A matrix equation i...
متن کاملTest for Exponentiality Based on the Sample Covariance
This paper proposes a simple goodness-of-fit test based on the sample covariance. It is shown that this test is preferable for alternatives of increasing and unimodal failure rate. Critical values for various sample sizes are determined by means of Monte Carlo simulations. We compare the test based on the sample covariance with tests based on Hoeffding's maximum correlation. The usefulness o...
متن کاملData envelopment analysis of mutual funds based on second-order stochastic dominance
Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed MF. This neglects the important effects...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Hacettepe Journal of Mathematics and Statistics
سال: 2014
ISSN: 1303-5010
DOI: 10.15672/hjms.2014137464