Testing for stochastic monotonicity

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.

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Year of publication:	2006-08
Authors:	Lee, Sokbae ; Linton, Oliver ; Whang, Yoon-Jae
Institutions:	London School of Economics (LSE)
Subject:	Distribution function \| Extreme Value Theory \| Gaussian Process \| Monotonicity

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010745504