RVCompare

CRANRVCompareMaRDI QIDQ107070

Compare Real Valued Random Variables

Etor Arza

Last update: 21 August 2023

Software version identifier: 0.1.6, 0.1.7, 0.1.2, 0.1.5, 0.1.6, 0.1.8

Copyright license: CC0

Description

A framework with tools to compare two random variables via stochastic dominance. See the README.md at <https://github.com/EtorArza/RVCompare> for a quick start guide. It can compute the Cp and Cd of two probability distributions and the Cumulative Difference Plot as explained in E. Arza (2022) <doi:10.1080/10618600.2022.2084405>. Uses bootstrap or DKW-bounds to compute the confidence bands of the cumulative distributions. These two methods are described in B. Efron. (1979) <doi:10.1214/aos/1176344552> and P. Massart (1990) <doi:10.1214/aop/1176990746>.

Cites work

• Bootstrap Methods: Another Look at the Jackknife
• The Tight Constant in the Dvoretzky-Kiefer-Wolfowitz Inequality
• Comparing Two Samples Through Stochastic Dominance: A Graphical Approach