On a Subset Selection Procedure Based on Hodges-Lehmann Estimators

In this paper, we study on a subset selection procedure based on Hodges-Lehmann estimators derived from the Wilcoxon test. To estimate the standard error of the Hodges-Lehmann estimators, the biweight A-estimator of scale is used. The Pitman efficiency of the proposed rule is compared with the Gupta's rule and the trimmed-means rule through a small-sample Monte Carlo study. The results show that the proposed rule satisfies the $P^*$-condition and is very efficient in various heavy-tailed distributions.