【Metrics Seminar】Modified Wilcoxon-Mann-Whitney tests of stochastic dominance
2023/07/18
研討會日期 : 2023-07-18
時間 : 14:30
主講人 : Professor Brendan K. Beare
地點 : Conference Room C103
演講者簡介 : Professor Brendan K. Beare received his PhD from Yale University in 2007. He is currently a Professor at the University of Sydney. His research spans a range of topics in econometrics and finance, including dependence modeling with copulae, statistical inference with concavity constraints, option price anomalies, functional cointegration, and generative mechanisms for power laws.
演講摘要 : Given independent samples from two univariate distributions, one-sided Wilcoxon-Mann-Whitney statistics may be used to conduct rank-based tests of stochastic dominance. We broaden the scope of applicability of such tests by showing that the bootstrap may be used to conduct valid inference in a matched pairs sampling framework permitting dependence between the two samples. Further, we show that a modified bootstrap incorporating an implicit estimate of a contact set may be used to improve power. Numerical simulations indicate that our test using the modified bootstrap effectively controls the null rejection rates and can deliver more or less power than that of the Donald-Hsu test. In the course of establishing our results we obtain a weak approximation to the empirical ordinance dominance curve permitting its population density to diverge to infinity at zero or one at arbitrary rates.
