Some robust anova procedures under heteroscedasticity and nonnormality

Abstract

In this paper we consider the problem of comparing several means under heteroscedasticity and nonnormality. By combining Huber‘s M-estimators with the Brown-Forsythe test, several robust procedures were developed; these procedures were compared through computer simulation studies with the Tan-Tabatabai procedure which was developed by combining Tiku's MML estimators with the Brown-Forsythe test. The numerical results indicate clearly that the Tan-Tabatabai procedure is considerably more powerful than tests based on Huber's M-estimators over a wide range of nonnormal distributions.

Keywords:

• Brown-Forsythe test
• Ruber's M-estimators
• Monte Carlo comparisons
• Tan-Tdbatdbai test
• Tiku's MML estimator