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A non-parametric maximum test for the Behrens–Fisher problem

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Welz_2018_JSCS_non_parametric_AAM.pdf (860.3Kb)
Date
03/2018
Author
Welz, Anke
Ruxton, Graeme D.
Neuhäuser, Markus
Keywords
Behrens-Fisher problem
Brunner-Munzel test
Maximum test
Welch t test
QA Mathematics
QA75 Electronic computers. Computer science
DAS
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Abstract
Non-normality and heteroscedasticity are common in applications. For the comparison of two samples in the non-parametric Behrens-Fisher problem, different tests have been proposed, but no single test can be recommended for all situations. Here, we propose combining two tests, the Welch t test based on ranks and the Brunner-Munzel test, within a maximum test. Simulation studies indicate that this maximum test, performed as a permutation test, controls the type I error rate and stabilizes the power. That is, it has good power characteristics for a variety of distributions, and also for unbalanced sample sizes. Compared to the single tests, the maximum test shows acceptable type I error control.
Citation
Welz , A , Ruxton , G D & Neuhäuser , M 2018 , ' A non-parametric maximum test for the Behrens–Fisher problem ' , Journal of Statistical Computation and Simulation , vol. 88 , no. 7 , pp. 1336-1347 . https://doi.org/10.1080/00949655.2018.1431236
Publication
Journal of Statistical Computation and Simulation
Status
Peer reviewed
DOI
https://doi.org/10.1080/00949655.2018.1431236
ISSN
0094-9655
Type
Journal article
Rights
© 2018, Informa UK Ltd, trading as Taylor & Francis Group. This work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1080/00949655.2018.1431236
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  • University of St Andrews Research
URI
http://hdl.handle.net/10023/16969

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