Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering

Abstract: A random variable

Y_{1}

is said to be smaller than

Y_{2}

in the increasing concave stochastic order if

m a t h b b E [p h i (Y_{1})] l e q m a t h b b E [p h i (Y_{2})]

for all increasing concave functions

p h i

for which the expected values exist, and smaller than

Y_{2}

in the increasing convex order if

m a t h b b E [p s i (Y_{1})] l e q m a t h b b E [p s i (Y_{2})]

for all increasing convex

p s i

. This article develops nonparametric estimators for the conditional cumulative distribution functions

F_{x} (y) = m a t h b b P (Y l e q y m i d X = x)

of a response variable

Y

given a covariate

X

, solely under the assumption that the conditional distributions are increasing in

x

in the increasing concave or increasing convex order. Uniform consistency and rates of convergence are established both for the

K

-sample case

X i n 1, d o t s, K

and for continuously distributed

X

.

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