Hodges-Lehmann Estimators for non-Wilcoxon cases

AllenFleishman — Sun, 03 Jun 2012 16:08:33 GMT

Can one easily compute Hodges-Lehmann Estimators for statistics other than the Wilcoxon test? For example, for paired data or sign-test?

Re: Hodges-Lehmann Estimators for non-Wilcoxon cases

SteveDenham — Mon, 04 Jun 2012 12:18:30 GMT

A quick test on some data at hand says it will take some major work with output to get the HL estimators. I couldn't get them for anything other than the Wilcoxon test.

Steve Denham

Re: Hodges-Lehmann Estimators for non-Wilcoxon cases

AllenFleishman — Thu, 28 Jun 2012 17:14:34 GMT

Thank you Steve, too bad that SAS cannot copy the R code which is available (e.g., R Graphical Manual).

On another two observations on the Hodges-Lehmann estimators,

I discovered that when the Wilcoxon p-value is just barely statistically significant (e.g., 0.045 when N/group = 6), then the HL estimators do not always exclude 0. This was confirmed by the SAS developer. A SAS consultant and a 2011 talk by Riji Yao, et. al. suggested that either an Exact solution or a sampling approach might yield HL estimators which are consistent with the p-values.
A Monte Carlo study observed across a range of distributions that the t-test CI gives about 21% narrower CI than the HL when N is small. Only for leptokurtic distributions and large Ns might the HL offer a slightly smaller CI. Although with the central limit theorem, the distribution of means very, very quickly converge on normal, questioning the underlying need for non-parametric approaches.

topic Re: Hodges-Lehmann Estimators for non-Wilcoxon cases in Statistical Procedures

Hodges-Lehmann Estimators for non-Wilcoxon cases

Re: Hodges-Lehmann Estimators for non-Wilcoxon cases

Re: Hodges-Lehmann Estimators for non-Wilcoxon cases