TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE

DOI10.1017/S0266466608080407zbMath1284.62284OpenAlexW2160738557MaRDI QIDQ3632409

Edna Schechtman, Amit Shelef, Ričardas Zitikis, Shlomo Yitzhaki

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080407

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)

Related Items (14)

BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ Validation of positive expectation dependence ⋮ The cumulative quantile regression function with censored and truncated covariate ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Composing the cumulative quantile regression function and the Goldie concentration curve ⋮ On the cumulative quantile regression process ⋮ Gini's multiple regressions: two approaches and their interaction ⋮ The cumulative quantile regression function with censored and truncated response ⋮ Estimating conditional tail expectation with actuarial applications in view ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Weighted risk capital allocations ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions ⋮ “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007 ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

• Testing for stochastic dominance using the weighted McFadden-type statistic
• A test for second order stochastic dominance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Consistent Tests for Stochastic Dominance
• Consistent Testing for Stochastic Dominance under General Sampling Schemes

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