Statistical inference for P(X<Y)

Authors

  • Wang Zhou

    Corresponding author
    1. Department of Statistics and Applied Probability, National University of Singapore, 6 Science Drive 2, Singapore 117546, Singapore
    • Department of Statistics and Applied Probability, National University of Singapore, 6 Science Drive 2, Singapore 117546, Singapore
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Abstract

Let X and Y be two independent continuous random variables. We make statistical inference about θ=P(X<Y), the so-called stress–strength model, through the Edgeworth expansions and the bootstrap approximations of the Studentized Wilcoxon–Mann–Whitney statistics. Finite-sample accuracy of the confidence intervals is assessed through a simulation study. Two real data sets are analysed to illustrate our methods. Copyright © 2007 John Wiley & Sons, Ltd.

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