Calculation of measures of power of the Grubbs criterion for a test for an outlier. (Russian) Zbl 1233.62032
Summary: We obtain a recursive relation to calculate the five David measures of power for the Grubbs criterion in the case of outliers in a normal sample. We show that the measures of power are functions of the outlier parameters, sample size and critical values of the Grubbs statistic. We prove that all the measures of power, except the fourth, are nonincreasing functions of critical values of the Grubbs statistic,while the fourth measure of power always has a local maximum. Using the obtained formulas, we made test calculations of the measures of power for the case of a normally distributed sample of 20 observations containing an outlier. The results of calculations are close to theoretically expected ones.
MSC:
62F03 | Parametric hypothesis testing |
62E15 | Exact distribution theory in statistics |
62F35 | Robustness and adaptive procedures (parametric inference) |