Tests of stochastic dominance with repeated measurements data

Angel G. Angelov () and Magnus Ekström ()
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Angel G. Angelov: Umeå University
Magnus Ekström: Umeå University

AStA Advances in Statistical Analysis, 2023, vol. 107, issue 3, No 4, 443-467

Abstract: Abstract The paper explores a testing problem which involves four hypotheses, that is, based on observations of two random variables X and Y, we wish to discriminate between four possibilities: identical survival functions, stochastic dominance of X over Y, stochastic dominance of Y over X, or crossing survival functions. Four-decision testing procedures for repeated measurements data are proposed. The tests are based on a permutation approach and do not rely on distributional assumptions. One-sided versions of the Cramér–von Mises, Anderson–Darling, and Kolmogorov–Smirnov statistics are utilized. The consistency of the tests is proven. A simulation study shows good power properties and control of false-detection errors. The suggested tests are applied to data from a psychophysical experiment.

Keywords: Stochastic dominance; Repeated measurement; Four-hypothesis test; Permutation test; Nonparametric approach (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10182-022-00446-8

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