Some robust two-sample test statistics based on m-estimators of location

Abstract

This paper describes a simulation experiment that compares the performance, in terms of the size and a function of the power, of four two-sample test statistics based on M-estimators for location. M-esti-mates are chosen to ensure similar levels of breakdown point, gross error sensitivity and as far as possible, similar rejection point. Two pairs of sample size and six different distributions are involved. Matching 97.5% critical values for the statistics are determined.