Kolmogorov Type Test and Estimate for Change-point of Second-order Stochastic Dominance

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.