IJPAM: Volume 13, No. 2 (2004)

ON SMALL SAMPLE PROPERTIES OF
PERMUTATION TESTS:
INDEPENDENCE BETWEEN TWO SAMPLES

Hisashi Tanizaki
Graduate School of Economics
Kobe University
2-1, Rokkodai-cho, Nada-ku
Kobe 657-8501, JAPAN
e-mail: tanizaki@kobe-u.ac.jp


Abstract.In this paper, we consider a nonparametric permutation test on the correlation coefficient. Because the permutation test is very computer-intensive, there are few studies on small-sample properties, although we have numerous studies on asymptotic properties with regard to various aspects. In this paper, we aim to compare the permutation test with the $t$ test through Monte Carlo experiments, where an independence test between two samples is taken. We obtain the results through Monte Carlo experiments that the nonparametric test performs better than the $t$ test when the underlying sample is not Gaussian and that the nonparametric test is as good as the $t$ test even under the Gaussian population.

Received: March 23, 2004

AMS Subject Classification: 62G10

Key Words and Phrases: nonparametric permutation test, correlation coefficient, independence between two samples

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2004
Volume: 13
Issue: 2