The approximate behaviour and performance of the two-sample trimmed t

SUMMARY A trimmed t statistic is defined for the case of two independent samples with equal population variance. Using an efficient Monte-Carlo technique, it is shown that for a normal underlying distribution and equal sample sizes, the two-sample trimmed t can be satisfactorily approximated by Student's t with degrees of freedom corresponding to the reduced sample. Asymptotically, the statistic approaches N(O, 1). The loss of power efficiency in using trimmed t is small under exact normality while the gain may be appreciable for longer tailed distributions. The case of unequal sample sizes is also discussed.