UNIGE document Scientific Article
previous document  unige:79879  next document
add to browser collection

A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives

Denuit, Michel
Goderniaux, Anne-Cécile
Published in Technometrics. 2007, vol. 49, no. 1, p. 88-99
Abstract This paper introduces a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the new better than used in expectation (NBUE) and for the new worse than used in expectation (NWUE) properties. Such a test is particularly useful in reliability applications as well as duration and income distribution analysis. The theoretical properties of the testing procedure are first established for uncensored data, and then for censored and truncated data. Simulation studies reveal that the test based on a bootstrap procedure performs well, even with moderate sample sizes. Applications to real data, namely chief executive officer (CEO) compensation data, flight delay data and throttle failure data, illustrate its empirical relevance.
Keywords Right-spread orderExcess-wealth orderNew better than used in expectationNew worse than used in expectationBootstrapReliabilityRandom censor- shipTruncation
Full text
Article (Accepted version) (221 Kb) - public document Free access
Research group Geneva Finance Research Institute (GFRI)
(ISO format)
DENUIT, Michel, GODERNIAUX, Anne-Cécile, SCAILLET, Olivier. A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives. In: Technometrics, 2007, vol. 49, n° 1, p. 88-99. doi: 10.1198/004017006000000309 https://archive-ouverte.unige.ch/unige:79879

391 hits



Deposited on : 2016-01-22

Export document
Format :
Citation style :