Comparing two independent groups: A test based on a one‐step M‐estimator and bootstrap‐t

Abstract

A new test is proposed for the problem of comparing two independent groups in terms of some measure of location. The proposed test () uses a one-step M-estimator and a bootstrap-t method with the procedure proposed by Özdemir and Kurt (2006). Eight methods were compared in terms of actual Type I error and power when the underlying distributions differ in skewness and kurtosis under heterogeneity of variances. For the 21 theoretical distributions, the Yuen test with the bootstrap-t method was the most favourable, followed by test. For the five real data sets, the proposed test and percentile bootstrap method with the one-step M-estimator performed best.