A test for second order stochastic dominance

Edna Schechtman; Shlomo Yitzhaki; Randy Eubank

doi:10.1080/03610929308831123

A test for second order stochastic dominance

Edna Schechtman
, Shlomo Yitzhaki
, Randy Eubank

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

Abstract

In this paper we propose a test for second order stochastic dominance (SSD), for the case where both distribution functions are unknown. This is a generalization of a test proposed by Deshpande and Singh ( 1985), who compare a new random prospect with a known distribution function. We then show that our test is based on comparing the mean minus one half of Gini's mean difference of the distributions, which is known to be a necessary condition for SSD, as developed in the economics literature (Yitzhaki, 1982).

Original language	English
Pages (from-to)	1893-1905
Number of pages	13
Journal	Communications in Statistics - Theory and Methods
Volume	22
Issue number	7
DOIs	https://doi.org/10.1080/03610929308831123
State	Published - 1 Jan 1993
Externally published	Yes

Keywords

and Phrases second degree stochastic dominance Gini
s mean difference

ASJC Scopus subject areas

Statistics and Probability

Access to Document

10.1080/03610929308831123

Cite this

@article{fc012ac37d59480dad27d01553272d02,

title = "A test for second order stochastic dominance",

abstract = "In this paper we propose a test for second order stochastic dominance (SSD), for the case where both distribution functions are unknown. This is a generalization of a test proposed by Deshpande and Singh ( 1985), who compare a new random prospect with a known distribution function. We then show that our test is based on comparing the mean minus one half of Gini's mean difference of the distributions, which is known to be a necessary condition for SSD, as developed in the economics literature (Yitzhaki, 1982).",

keywords = "and Phrases second degree stochastic dominance Gini, s mean difference",

author = "Edna Schechtman and Shlomo Yitzhaki and Randy Eubank",

year = "1993",

month = jan,

day = "1",

doi = "10.1080/03610929308831123",

language = "English",

volume = "22",

pages = "1893--1905",

journal = "Communications in Statistics - Theory and Methods",

issn = "0361-0926",

publisher = "Taylor and Francis Ltd.",

number = "7",

}

TY - JOUR

T1 - A test for second order stochastic dominance

AU - Schechtman, Edna

AU - Yitzhaki, Shlomo

AU - Eubank, Randy

PY - 1993/1/1

Y1 - 1993/1/1

N2 - In this paper we propose a test for second order stochastic dominance (SSD), for the case where both distribution functions are unknown. This is a generalization of a test proposed by Deshpande and Singh ( 1985), who compare a new random prospect with a known distribution function. We then show that our test is based on comparing the mean minus one half of Gini's mean difference of the distributions, which is known to be a necessary condition for SSD, as developed in the economics literature (Yitzhaki, 1982).

AB - In this paper we propose a test for second order stochastic dominance (SSD), for the case where both distribution functions are unknown. This is a generalization of a test proposed by Deshpande and Singh ( 1985), who compare a new random prospect with a known distribution function. We then show that our test is based on comparing the mean minus one half of Gini's mean difference of the distributions, which is known to be a necessary condition for SSD, as developed in the economics literature (Yitzhaki, 1982).

KW - and Phrases second degree stochastic dominance Gini

KW - s mean difference

UR - https://www.scopus.com/pages/publications/0013197365

U2 - 10.1080/03610929308831123

DO - 10.1080/03610929308831123

M3 - Article

AN - SCOPUS:0013197365

SN - 0361-0926

VL - 22

SP - 1893

EP - 1905

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 7

ER -

A test for second order stochastic dominance

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this