A method of comparing one-step M-estimates of location for heavy tailed distributions is proposed and investigated. Simulations indicate that the new procedure provides good control over Type I errors and has more power than do some other methods for dealing with heavy tailed distributions. (SLD)

This paper is concerned with the construction of effect size standard errors in situations where the effect sizes are independent but the data have likely been sampled from non-normal distributions, and possibly for different studies, from different families of non-normal distributions. Asymptotic distribution-free estimators are provided for two…