Performance of the control quantile two sample statistic
Author:
Jerome H. Klotz a
| Affiliation: | a Department of Statistics, University of Wisconsin, Madison, Wisconsin |
DOI:
10.1080/10485250108832863
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
We give the large sample performance of the control quantile two sample test relative to the two sample Wilcoxon rank sum test for various distributions. We also give the exact null distribution in closed form for the case of ties as well as for the untied case. Because of better efficiency for the Cauchy distribution, and a simpler null distribution, the test seems an attractive substitute for the popular rank sum test for heavy tailed distributions.
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| Keywords: Ties; Pitman efficiency; Bahadur efficiency |
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