Exact solutions to the Behrens-Fisher Problem: Asymptotically optimal and finite sample efficient choice among

Edward J. Dudewicz, Yan Ma, Enping (Shirley) Mai, Haiyan Su

Research output: Contribution to journalArticle

7 Scopus citations

Abstract

The problem of testing the equality of two normal means when variances are not known is called the Behrens-Fisher Problem. This problem has three known exact solutions, due, respectively, to Chapman, to Prokof'yev and Shishkin, and to Dudewicz and Ahmed. Each procedure has level alpha and power beta when the means differ by a given amount delta, both set by the experimenter. No single-sample statistical procedures can make this guarantee. The most recent of the three procedures, that of Dudewicz and Ahmed, is asymptotically optimal. We review the procedures, and then compare them with respect to both asymptotic efficiency and also (using simulation) in finite samples. Of these exact procedures, based on finite-sample comparisons the Dudewicz-Ahmed procedure is recommended for practical use.

Original languageEnglish
Pages (from-to)1584-1605
Number of pages22
JournalJournal of Statistical Planning and Inference
Volume137
Issue number5
DOIs
StatePublished - 1 May 2007

Keywords

  • Asymptotically optimal tests
  • Behrens-Fisher Problem
  • Chapman procedure
  • Comparisons
  • Dudewicz-Ahmed procedure
  • Exact level tests
  • Exact solutions
  • Finite-sample efficiency
  • Heteroscedasticity
  • Prokof'yev-Shishkin procedure
  • Recommendation for practical use
  • Testing equality of means
  • Tests of hypotheses
  • Tests with specified power

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