Nonparametric two-sample tests for increasing convex order

DOI10.3150/08-BEJ151MaRDI QIDQ605848zbMATH OpenFDO

Authors Ludwig Baringhaus, Rudolf Grübel

Publication date 15 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.1439

zbMATH Keywords

bootstrap critical valuesempirical stop-loss transformincreasing convex orderone-sided two-sample tests

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Abstract: Given two independent samples of non-negative random variables with unknown distribution functions $F$ and $G$, respectively, we introduce and discuss two tests for the hypothesis that $F$ is less than or equal to $G$ in increasing convex order. The test statistics are based on the empirical stop-loss transform, critical values are obtained by a bootstrap procedure. It turns out that for the resampling a size switching is necessary. We show that the resulting tests are consistent against all alternatives and that they are asymptotically of the given size $alpha$. A specific feature of the problem is the behavior of the tests `inside' the hypothesis, where $Fot=G$. We also investigate and compare this aspect for the two tests.

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Cited in

(8)

• Testing for increasing convex order in several populations
• Empirical likelihood-based tests for stochastic ordering
• Nonparametric multi-samples test for simple stochastic ordering against unrestricted alternative
• Stochastic ordering of variability measure estimators
• Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering
• Lattice structures for the stochastic comparison of call ratio backspread derivatives with an application
• A nonparametric test for stop-loss order
• A test for the increasing convex order based on the cumulative residual entropy

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