A new stochastic dominance criterion for dependent random variables with applications
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866917220936843264 |
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| author | Belzunce, F. Martínez-Riquelme, C. |
| author_facet | Belzunce, F. Martínez-Riquelme, C. |
| contents | In this paper we develop a new tool for the comparison of paired data based on a new criterion of stochastic dominance that takes into account the dependence structure of the random variables under comparison. This new procedure provides a more detailed comparison of dependent random variables and overcomes some difficulties of standard techniques like Student's t and Wilcoxon-Mann-Whitney tests for non normal data. This tool provides an alternative to the usual stochastic dominance criterion which only considers the marginal distributions in the comparison. We show how this new tool can be fruitfully used for the comparison of paired asset returns. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2601_17511 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A new stochastic dominance criterion for dependent random variables with applications Belzunce, F. Martínez-Riquelme, C. Statistics Theory 60E15 In this paper we develop a new tool for the comparison of paired data based on a new criterion of stochastic dominance that takes into account the dependence structure of the random variables under comparison. This new procedure provides a more detailed comparison of dependent random variables and overcomes some difficulties of standard techniques like Student's t and Wilcoxon-Mann-Whitney tests for non normal data. This tool provides an alternative to the usual stochastic dominance criterion which only considers the marginal distributions in the comparison. We show how this new tool can be fruitfully used for the comparison of paired asset returns. |
| title | A new stochastic dominance criterion for dependent random variables with applications |
| topic | Statistics Theory 60E15 |
| url | https://arxiv.org/abs/2601.17511 |