Abstract
It is common practice to perform an Exploratory Data Analysis to decide whether to use a classical or a robust test; i.e., to choose between a classical or a robust result. What is not so clear is how to choose among the results provided by different competing robust tests. In this paper we propose to use the function p − value line, that we shall define later, to compare the results obtained by different tests in order to choose one: the result with largest p-value line. This function takes into account the usual trade-off between robustness and power that is present in most, if not all, robust tests, trade-off that is expressed thought a parameter fixed in a subjective way. With our proposal we can fix it in an objective manner. We shall apply this proposal to choose the trimming fraction in the location test based on the trimmed mean.
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