haku: @author Pfaffenberger, R. C. / yhteensä: 1
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| Tekijä: | Stein, W. E. Pfaffenberger, R. C. French, D. W. |
| Otsikko: | Sampling error in first order stochastic dominance. |
| Lehti: | Journal of Financial Research
1987 : FALL, VOL. 10:3, p. 259-268 |
| Asiasana: | STOCHASTIC PROCESSES SAMPLING UNCERTAINTY |
| Kieli: | eng |
| Tiivistelmä: | An analysis of the standard method of testing for first order stochastic dominance, applying a boundary crossing algorithm to approximate the resulting error probabilities, which can be estimated even when the two distributions are unequal. The authors suggest the method is beneficial when large sample simulations are not feasible and it clarifies the unusual results gained by Kroll and Levy in an earlier study. Equations and one Table are given. |
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