Robustness and power of modified Lepage, Kolmogorov-Smirnov and Cramer-von Mises two-sample tests

Herbert Buning

Journal of Applied Statistics, 2002, vol. 29, issue 6, 907-924

Abstract: For the two-sample problem with location and/or scale alternatives, as well as different shapes, several statistical tests are presented, such as of Kolmogorov-Smirnov and Cramer-von Mises type for the general alternative, and such as of Lepage type for location and scale alternatives. We compare these tests with the t-test and other location tests, such as the Welch test, and also the Levene test for scale. It turns out that there is, of course, no clear winner among the tests but, for symmetric distributions with the same shape, tests of Lepage type are the best ones whereas, for different shapes, Cramer-von Mises type tests are preferred. For extremely right-skewed distributions, a modification of the Kolmogorov-Smirnov test should be applied.

Date: 2002
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DOI: 10.1080/02664760220136212

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