 Stochastic dominance with imprecise informationIgnacio Montes, Enrique Miranda and Susana Montes Computational Statistics & Data Analysis, 2014, vol. 71, issue C, 868-886 Abstract: Stochastic dominance, which is based on the comparison of distribution functions, is one of the most popular preference measures. However, its use is limited to the case where the goal is to compare pairs of distribution functions, whereas in many cases it is interesting to compare sets of distribution functions: this may be the case for instance when the available information does not allow to fully elicitate the probability distributions of the random variables. To deal with these situations, a number of generalisations of the notion of stochastic dominance are proposed; their connection with an equivalent p-box representation of the sets of distribution functions is studied; a number of particular cases, such as sets of distributions associated to possibility measures, are investigated; and an application to the comparison of the Lorenz curves of countries within the same region is presented. Keywords: Distribution function; Stochastic dominance; Probability boxes; Possibility measures; Lorenz curves (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:71:y:2014:i:c:p:868-886 DOI: 10.1016/j.csda.2012.07.030 Access Statistics for this article Computational Statistics & Data Analysis is currently edited by S.P. Azen More articles in Computational Statistics & Data Analysis from Elsevier |
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