Robust two-sample permutation tests

DOI10.1214/AOS/1176349542MaRDI QIDQ1068487zbMATH OpenOpenAlexFDO

Authors Diane Lambert

Publication date 1985

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349542

zbMATH Keywords

asymptotically optimal against restricted fixed-width neighborhoodscore distributiondata-dependent censoringexponential familiesgross-error- sensitivityinfluence functioninvariant under permutationsminimax p-valueminimax powerminimax slopenuisance-parameter-free versionsrandomization testrobust two-sample permutation test

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric hypothesis testing (62G10)

Review text

In this paper the author proposes a new robust two-sample permutation test (RPT) with data-dependent censoring for testing that the joint distribution of two samples is invariant under permutations. The test is shown to be asymptotically optimal against restricted fixed-width neighborhoods, since no other non-parametric test has a p-value with larger minimum slope over the restricted neighborhoods. The RPT also offers the best compromise between robustness and optimality at the idealized alternative, since no other test with the same gross- error-sensitivity has larger slope at the idealized alternative. Some modifications of the test are proposed for testing the nonparametric null hypothesis against neighborhoods of models that have a shared nuisance location-scale parameter. These nuisance-parameter-free versions of the test are justified for large samples from exponential families, and an example for their use is given.

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