讲座题目：Tests for the first order stochastic dominance
主讲人：陈家骅 教授
主持人：刘玉坤 教授
开始时间：2024-06-08 10:00
讲座地址：普陀校区理科大楼A1714
主办单位：统计学院
报告人简介：
陈家骅，加拿大不列颠哥伦比亚大学（UBC）统计系国家一级讲座教授、加拿大皇家科学院院士。中国科大数学系本科，中国科学院系统科学研究所获得硕士学位，美国威斯康星大学麦迪逊分校统计学系获得博士学位，师从吴建福教授。研究兴趣包括有限混合模型、经验似然、统计遗传学、抽样调查、变量选择、以及试验设计等多个统计研究领域，科研论文发表在国际统计学顶级期刊如JASA、JRSSB、Annals of Statistics、Biometrika、Statistica Sinica等。曾任泛华统计学会主席、加拿大统计杂志主编等职务。当选IMS和ASA fellow；2014年获加拿大统计学会最高奖--CRM-SSC统计学奖(该奖项由加拿大统计学会(SSC) 和蒙特利尔数学研究中心(CRM)联合主办，每年颁发给一位加拿大统计学家，以表彰他在获得博士学位后15年内对该学科的杰出贡献)；2016年获泛华统计协会杰出成就奖;2022年当选加拿大皇家科学院院士。
报告内容：
This talk presents the first-order stochastic dominance (SD) test in the context of two independent random samples. We introduce several test statistics that effectively capture violations of the dominance relationship, particularly in the tail regions. Additionally, we develop a resampling procedure to compute the $p$-values or critical values for these tests. The proposed tests have asymptotic type I error rates for frontal configurations equal to the nominal level $\alpha$. Furthermore, their powers approach 1 for any fixed alternatives. Through simulation experiments, we demonstrate that our SD tests outperform the recentring test proposed by Donald and Hsu (2016) as well as the integral-type test presented by Linton et al. (2010) in various scenarios discussed in existing literature. We also employ the proposed tests to analyze changes in the distribution of household income in the UK over time. The proposed tests offer some insights into potential dominance relationships within this context.
