Hypothesis test
Brunner-Munzel Test
The Brunner-Munzel test is a nonparametric two-sample hypothesis test that estimates the probabilistic superiority index P(X < Y) — the probability that a randomly selected observation from one group exceeds a randomly selected observation from the other. Introduced by Brunner and Munzel in 2000 as a solution to the nonparametric Behrens-Fisher problem, it remains valid even when the two groups have unequal variances or differently shaped distributions, making it a robust alternative to the Mann-Whitney U test in heteroscedastic settings.
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Sources
- Brunner, E. & Munzel, U. (2000). The Nonparametric Behrens-Fisher Problem: Asymptotic Theory and a Small-Sample Approximation. Biometrical Journal, 42(1), 17–25. DOI: 10.1002/1521-4036(200001)42:1<17::AID-BIMJ17>3.0.CO;2-U ↗
- Neubert, K. & Brunner, E. (2007). A studentized permutation test for the nonparametric Behrens-Fisher problem. Computational Statistics & Data Analysis, 51(10), 5192–5204. DOI: 10.1016/j.csda.2006.05.024 ↗
- Brunner, E., Bathke, A. C., & Konietschke, F. (2019). Rank and Pseudo-Rank Procedures for Independent Observations in Factorial Designs. Springer. DOI: 10.1007/978-3-030-02914-2 ↗