The Annals of Statistics

Robust Two-Sample Permutation Tests

Diane Lambert

Full-text: Open access

Abstract

A new two-sample randomization test is proposed for testing that the joint distribution of two samples is invariant under permutations. The $p$-value of the test has a finite sample minimaxity property over neighborhoods of completely specified alternative distributions. Asymptotically, the test has minimax Bahadur slope against the neighborhoods, which remain fixed as the sample sizes increase. The proposed test also offers the best compromise between robustness against departures from a model alternative and optimality at the model alternative in the sense that no other test with the same gross-error-sensitivity has larger slope at the model. 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 of their use is given.

Article information

Source
Ann. Statist., Volume 13, Number 2 (1985), 606-625.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349542

Digital Object Identifier
doi:10.1214/aos/1176349542

Mathematical Reviews number (MathSciNet)
MR790560

Zentralblatt MATH identifier
0582.62033

JSTOR
links.jstor.org

Subjects
Primary: 62G35: Robustness
Secondary: 62E20: Asymptotic distribution theory 62G10: Hypothesis testing

Keywords
Randomization test core distribution minimax $p$-value minimax power minimax slope influence function gross-error-sensitivity data-dependent censoring

Citation

Lambert, Diane. Robust Two-Sample Permutation Tests. Ann. Statist. 13 (1985), no. 2, 606--625. doi:10.1214/aos/1176349542. https://projecteuclid.org/euclid.aos/1176349542


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