Seven test statistics known to be robust to the combined effects of nonnormality and variance heterogeneity were compared for their sensitivity to detect treatment effects in a one-way completely randomized design containing four groups. The six Welch-James-type heteroscedastic tests adopted either symmetric or asymmetric trimmed means, were transformed for skewness, and used a bootstrap method to assess statistical significance. The remaining test, due to Wilcox and Keselman (2003), used a modification of the well-known one-step M-estimator of central tendency rather than trimmed means. The Welch-James-type test is recommended because for nonnormal data likely to be encountered in applied research settings it should be more powerful than the test presented by Wilcox and Keselman. However, the reverse is true for data that are extremely nonnormal.
Keselman, H. J.; Wilcox, Rand R.; Algina, James; and Othman, Abdul R.
"A Power Comparison of Robust Test Statistics Based On Adaptive Estimators,"
Journal of Modern Applied Statistical Methods: Vol. 3
, Article 4.
Available at: http://digitalcommons.wayne.edu/jmasm/vol3/iss1/4