Journal
STATISTICAL METHODS AND APPLICATIONS
Volume 20, Issue 4, Pages 409-422Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10260-011-0164-1
Keywords
Distribution-free tests; Wilcoxon test; Outliers; Heavy tails; Skewed distributions
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Funding
- Deutsche Forschungsgemeinschaft [SFB 823]
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We construct and investigate robust nonparametric tests for the two-sample location problem. A test based on a suitable scaling of the median of the set of differences between the two samples, which is the Hodges-Lehmann shift estimator corresponding to the Wilcoxon two-sample rank test, leads to higher robustness against outliers than the Wilcoxon test itself, while preserving its efficiency under a broad range of distributions. The good performance of the constructed test is investigated under different distributions and outlier configurations and compared to alternatives like the two-sample t-, the Wilcoxon and the median test, as well as to tests based on the difference of the sample medians or the one-sample Hodges-Lehmann estimators.
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