Comparative Performance of Four Single Extreme Outlier Discordancy Tests from Monte Carlo Simulations

Abstract

Using highly precise and accurate Monte Carlo simulations of 20,000,000 replications and 102 independent simulation experiments with extremely low simulation errors and total uncertainties, we evaluated the performance of four single outlier discordancy tests (Grubbs test N2, Dixon test N8, skewness test N14, and kurtosis test N15) for normal samples of sizes 5 to 20. Statistical contaminations of a single observation resulting from parameters calledδfrom ±0.1 up to ±20 for modeling the slippage of central tendency orεfrom ±1.1 up to ±200 for slippage of dispersion, as well as no contamination (δ=0andε=±1), were simulated. Because of the use of precise and accurate random and normally distributed simulated data, very large replications, and a large number of independent experiments, this paper presents a novel approach for precise and accurate estimations of power functions of four popular discordancy tests and, therefore, should not be considered as a simple simulation exercise unrelated to probability and statistics. From both criteria of the Power of Test proposed by Hayes and Kinsella and the Test Performance Criterion of Barnett and Lewis, Dixon test N8 performs less well than the other three tests. The overall performance of these four tests could be summarized asN2≅N15>N14>N8.