Resource title

Testing for stochastic monotonicity

Resource image

image for OpenScout resource :: Testing for stochastic monotonicity

Resource description

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating Gaussian stochastic process contains both a stationary and a nonstationary part and so we have to extend existing results that only apply to either one or the other case.

Resource author

Resource publisher

Resource publish date

Resource language

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/4425/1/TESTING_FOR_STOCHASTIC_MONOTONICITY.pdf