Small-sample tests for the equality of two normal cumulative probabilities, coefficients of variation, and Sharpe ratios

DOI10.1080/15598608.2014.881762zbMath1425.62035OpenAlexW2028601859MaRDI QIDQ2320931

Jongphil Kim, Anthony J. Hayter

Publication date: 28 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2014.881762

zbMATH Keywords

normal distributionacceptance setSharpe ratiocoefficient of variationcumulative distribution functionnoncentral \(t\)-distributiontwo-sample comparisontest procedure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Related Items (2)

Unnamed Item ⋮ Confidence bounds on the coefficient of variation of a normal distribution with applications to win-probabilities

Cites Work

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• The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test
• An Improvement of the Nonparametric Bootstrap Test for the Comparison of the Coefficient of Variations
• Estimating the Population Coefficient of Variation by Confidence Intervals
• Two new confidence intervals for the coefficient of variation in a normal distribution
• Testing the Equality of the Noncentrality Parameters of Two Noncentralt-Distributions with Identical Degrees of Freedom
• Efficient Confidence Interval Methodologies for the Non Centrality Parameter of a Non CentraltDistribution
• Distribution of the Coefficient of Variation and the Extended "t" Distribution
• Asymptotic inference for coefficients of variation
• Tests of Coefficients of Variation of Normal Population
• Improved Likelihood Inference on Testing the Difference of Non Centrality Parameters of Two Independent Non centraltDistributions with Identical Degrees of Freedom
• A Robust Score Test for Testing Several Coefficients of Variation with Unknown Underlying Distributions
• Confidence Bounds and Hypothesis Tests for Normal Distribution Coefficients of Variation
• Estimator and Tests for Common Coefficients of Variation in Normal Distributions

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