Nonparametric two-sample tests for increasing convex order
Baringhaus, Ludwig ; Grübel, Rudolf
Bernoulli, Tome 15 (2009) no. 1, p. 99-123 / Harvested from Project Euclid
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 α. A specific feature of the problem is the behavior of the tests ‘inside’ the hypothesis, where F≠G. We also investigate and compare this aspect for the two tests.
Publié le : 2009-02-15
Classification:  bootstrap critical values,  empirical stop-loss transform,  increasing convex order,  one-sided two-sample tests
@article{1233669884,
     author = {Baringhaus, Ludwig and Gr\"ubel, Rudolf},
     title = {Nonparametric two-sample tests for increasing convex order},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 99-123},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1233669884}
}
Baringhaus, Ludwig; Grübel, Rudolf. Nonparametric two-sample tests for increasing convex order. Bernoulli, Tome 15 (2009) no. 1, pp.  99-123. http://gdmltest.u-ga.fr/item/1233669884/