Nonparametric Statistics Introductory Overview - When to Use Which Method

It is not easy to give simple advice concerning the use of nonparametric procedures. Each nonparametric procedure has its peculiar sensitivities and blind spots. For example, the Kolmogorov-Smirnov two-sample test is not only sensitive to differences in the location of distributions (for example, differences in means) but is also greatly affected by differences in their shapes. The Wilcoxon matched pairs test assumes that one can rank order the magnitude of differences in matched observations in a meaningful manner. If this is not the case, one should rather use the Sign test. In general, if the result of a study is important (e.g., does a very expensive and painful drug therapy help people get better?), then it is always advisable to run different nonparametric tests; should discrepancies in the results occur contingent upon which test is used, one should try to understand why some tests give different results. On the other hand, nonparametric statistics are less statistically powerful (sensitive) than their parametric counterparts, and if it is important to detect even small effects (e.g., is this food additive harmful to people?) one should be very careful in the choice of a test statistic.

Large data sets and nonparametric methods
Nonparametric methods are most appropriate when the sample sizes are small. When the data set is large (e.g., n > 100) it often makes little sense to use nonparametric statistics at all. Elementary Concepts briefly discusses the idea of the central limit theorem. In a nutshell, when the samples become very large, then the sample means will follow the normal distribution even if the respective variable is not normally distributed in the population, or is not measured very well. Thus, parametric methods, which are usually much more sensitive (i.e., have more statistical power) are in most cases appropriate for large samples. However, the tests of significance of many of the nonparametric statistics described here are based on asymptotic (large sample) theory; therefore, meaningful tests can often not be performed if the sample sizes become too small. Please refer to the descriptions of the specific tests to learn more about their power and efficiency.