Nonparametric two-sample tests for increasing convex order

verfasst von

Ludwig Baringhaus, Rudolf Grübel

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 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.

Organisationseinheit(en)

Institut für Versicherungs- und Finanzmathematik

Typ

Artikel

Journal

BERNOULLI

Band

15

Seiten

99-123

Anzahl der Seiten

25

ISSN

1350-7265

Publikationsdatum

02.2009

Publikationsstatus

Veröffentlicht

Peer-reviewed

Ja

ASJC Scopus Sachgebiete

Statistik und Wahrscheinlichkeit

Elektronische Version(en)

https://doi.org/10.3150/08-BEJ151 (Zugang: Offen)