Robustness of subset selection procedures

The robustness (and the number of non-best populations selected) of 11 subset selection procedures is investigated by means of simulation experiments. If the underlying distributions differ only in their location parameter, the subset selection procedures are robust for symmetric distributions or distributions with negative skewness. With increasing positive skewness and increasing number of populations the considered parametric procedures fail in robustness slightly. This non-robustness is more serious in the case of unequal variances. Non-parametric subset selection rules show then an increasing non-robustness with increasing sample size.