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Distribution-free tests of stochastic dominance for small samples

journal contribution
posted on 2023-05-18, 08:09 authored by Heathcote, A, Brown, S, Wagenmakers, EJ, Eidels, A
One variable is said to "stochastically dominate" another if the probability of observations smaller than x is greater for one variable than the other, for all x. Inferring stochastic dominance from data samples is important for many applications of econometrics and experimental psychology, but little is known about the performance of existing inferential methods. Through simulation, we show that three of the most widely used inferential methods are inadequate for use in small samples of the size commonly encountered in many applications (up to 400 observations from each distribution). We develop two new inferential methods that perform very well in a limited, but practically important, case where the two variables are guaranteed not to be equal in distribution. We also show that extensions of these new methods, and an improved version of an existing method, perform quite well in the original, unlimited case.

History

Publication title

Journal of Mathematical Psychology

Volume

54

Pagination

454-463

ISSN

0022-2496

Department/School

Tasmanian School of Medicine

Publisher

Academic Press Inc Elsevier Science

Place of publication

525 B St, Ste 1900, San Diego, USA, Ca, 92101-4495

Rights statement

Copyright 2010 Elsevier Inc.

Repository Status

  • Restricted

Socio-economic Objectives

Expanding knowledge in psychology

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