A new stochastic dominance criterion for dependent random variables with applications
提出一种考虑随机变量间依赖结构的新随机占优准则，用于更精细地比较配对数据，克服了传统t检验和Wilcoxon-Mann-Whitney检验在处理非正态数据时的局限，并展示了其在配对资产收益比较中的应用。
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.