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Tests of stochastic dominance with repeated measurements data

Author

Listed:
  • Angel G. Angelov

    (Umeå University)

  • Magnus Ekström

    (Umeå University
    Swedish University of Agricultural Sciences)

Abstract

The paper explores a testing problem which involves four hypotheses, that is, based on observations of two random variables X and Y, we wish to discriminate between four possibilities: identical survival functions, stochastic dominance of X over Y, stochastic dominance of Y over X, or crossing survival functions. Four-decision testing procedures for repeated measurements data are proposed. The tests are based on a permutation approach and do not rely on distributional assumptions. One-sided versions of the Cramér–von Mises, Anderson–Darling, and Kolmogorov–Smirnov statistics are utilized. The consistency of the tests is proven. A simulation study shows good power properties and control of false-detection errors. The suggested tests are applied to data from a psychophysical experiment.

Suggested Citation

  • Angel G. Angelov & Magnus Ekström, 2023. "Tests of stochastic dominance with repeated measurements data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 443-467, September.
    • Handle: RePEc:spr:alstar:v:107:y:2023:i:3:d:10.1007_s10182-022-00446-8
    DOI: 10.1007/s10182-022-00446-8
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    References listed on IDEAS

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