二阶随机控制变点的Kolmogrov型检验和估计
Kolmogorov Type Test and Estimate for Change-point of Second-order Stochastic Dominance
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摘要: 基于Kolmogorov型统计量和Kiefer过程, 对一样本情形, 我们讨论了二阶随机控制变点的检验和估计。得到了检验统计量的渐近分布且用模拟方法给出了其有限样本的分位数。并证明了变点的估计为强相合的。Abstract: Basing on Kolmogorov type test and Kiefer process, a procedure of test and estimation for change point of second-order stochastic dominance is introduced in the case of the one sample problem. The asymptotic distribution of the test statistic is given and its quantiles of the finite sample is derived by simulations. A strong consistent estimation for change point of second-order stochastic dominance is also gained.