Bootstrap-based tests for the total time on test and the excess wealth orders
Tommaso Lando, Sirio Legramanti

TL;DR
This paper introduces bootstrap-based nonparametric tests for stochastic dominance in total time on test and excess wealth orders, providing consistent inference methods and goodness-of-fit tests for NBUE distributions.
Contribution
It develops new bootstrap-based tests for total time on test and excess wealth orders, including goodness-of-fit tests for NBUE distributions, advancing nonparametric stochastic dominance testing.
Findings
Tests are consistent and reliable.
Bootstrap critical values improve inference accuracy.
New goodness-of-fit tests for NBUE distributions are proposed.
Abstract
Given a pair of non-negative random variables and , we introduce a class of nonparametric tests for the null hypothesis that dominates in the total time on test order. Critical values are determined using bootstrap-based inference, and the tests are shown to be consistent. The same approach is used to construct tests for the excess wealth order. As a byproduct, we also obtain a class of goodness-of-fit tests for the NBUE (New Better than Used in Expectation) family of distributions.
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Taxonomy
TopicsProbability and Risk Models · Statistical Distribution Estimation and Applications · Financial Risk and Volatility Modeling
