Estimation of error probabilities in stochastic dominance

DOI10.1080/00949658608810929MaRDI QIDQ3806561zbMATH OpenOpenAlexFDO

Authors William Stein, Roger C. Pfaffenberger

Publication date 1986

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658608810929

zbMATH Keywords

estimation of error probabilitiesKolmogorov- Smirnov testlognormal distributionsnormal distributionssampling errorsimulation resultsstochastic dominanceutility theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Distribution-free tests of stochastic dominance for small samples
• Stochastic dominance and parameter estimation: The case of symmetric stable distributions
• scientific article; zbMATH DE number 2015221
• Some remarks on stochastic dominance
• Testing for restricted stochastic dominance

Cites work

• scientific article; zbMATH DE number 3146343 (Why is no real title available?)
• Investment Decision Rules, Diversification, and the Investors's Initial Wealth
• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Sample vs. Population Mean-Variance Efficient Portfolios
• Stochastic Dominance among Log-Normal Prospects

Cited in

(3)

• On the computation of detection error probabilities under normality assumptions
• A stochastic dominance comparison of truncated normal distributions
• Improvements in the power of empirical stochastic dominance comparisons through kernel density estimation: a monte carlo study

This page was built for publication: Estimation of error probabilities in stochastic dominance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3806561)