Nonparametric tests for stochastic ordering

Teresa Ledwina () and Grzegorz Wyłupek

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, vol. 21, issue 4, 730-756

Abstract: We present two new tests for stochastic ordering in a standard two-sample scheme. We approach the problem via its reparametrization in terms of Fourier coefficients in some corresponding system of functions and combining the resulting empirical Fourier coefficients. The empirical Fourier coefficients can be seen to be the asymptotically optimal linear rank statistics for the local sequences of nonparametric alternatives related to the introduced system of functions. Therefore, our first construction of the test is via multiple testing. The second test is based on sum of squares of censored empirical Fourier coefficients with the number of summands determined via a new model selection rule. The selection rule is fully automatic. Extensive simulations show that the new solutions improve upon existing tests based on adjusted variants of classical Kolmogorov–Smirnov, Anderson–Darling and L 1 -distance-based statistics, among others. We show that both tests control the error of the first kind for any fixed sample sizes and are capable of detecting essentially any alternative as the sample sizes are growing to infinity. We also discuss several aspects of our constructions, including possible efficiency calculations and asymptotic comparisons. Copyright Sociedad de Estadística e Investigación Operativa 2012

Keywords: Data-driven test; Linear rank statistic; Model selection criteria; Multiple comparisons; Schwarz BIC; Stochastic dominance; Stochastic order; 62G10; 62G20 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11749-011-0278-7

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