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06-03-2012 12:08 PM

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

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Posted in reply to AllenFleishman

06-04-2012 08:18 AM

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

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Posted in reply to AllenFleishman

06-28-2012 01:14 PM

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.