Perhaps the simpler solution in this case is to use \only:
\documentclass{beamer}
\begin{document}
\begin{frame}
\begin{table}
\caption{Table}
\begin{tabular}{l c c c c c c}
\hline \hline
No. & {Ordinary} & {Blue} & {Pink} & {Yellow} & {Green} & {RCM}\ \hline
\only<1>{
&\multicolumn{6}{c}{$\alpha$=0.05}\\
H=2 & 95.0 & 75.3 & 75.7 & 79.5 & 72.0 &\\
H=3 & 95.6 & 87.0 & 87.3 & 87.6 & 85.2 & \\
H=4 & 95.0 & 91.6 & 91.9 & 90.3 & 90.2 & 93.3\\
H=5 & 95.2 & 93.5 & 93.7 & 91.3 & 91.8 & 94.3\\
H=6 & 94.9 & 93.8 & 94.1 & 92.6 & 92.8 & 94.7 \\[-\normalbaselineskip]
}
\only<2>{
&\multicolumn{6}{c}{$\alpha$=0.5}\\
H=2 & 95.0 & 91.4 & 91.2 & 79.5 & 99.9 & \\
H=3 & 95.6 & 95.1 & 95.1 & 87.6 & 95.1 & \\
H=4 & 95.0 & 94.8 & 94.8 & 90.3 & 93.5 & 95.5 \\
H=5 & 95.2 & 95.1 & 95.2 & 91.3 & 93.1 & 95.9 \\
H=6 & 94.9 & 94.8 & 94.8 & 92.6 & 93.4 & 95.5 \\[-\normalbaselineskip]
}
\\\hline
\end{tabular}
\end{table}
\end{frame}
\end{document}
Or a simple variation showing each part separately and finally the whole table:
\documentclass{beamer}
\begin{document}
\begin{frame}
\begin{table}
\caption{Table}
\begin{tabular}{l c c c c c c}
\hline \hline
No. & {Ordinary} & {Blue} & {Pink} & {Yellow} & {Green} & {RCM}\ \hline
\only<1,3>{
&\multicolumn{6}{c}{$\alpha$=0.05}\\
H=2 & 95.0 & 75.3 & 75.7 & 79.5 & 72.0 &\\
H=3 & 95.6 & 87.0 & 87.3 & 87.6 & 85.2 & \\
H=4 & 95.0 & 91.6 & 91.9 & 90.3 & 90.2 & 93.3\\
H=5 & 95.2 & 93.5 & 93.7 & 91.3 & 91.8 & 94.3\\
H=6 & 94.9 & 93.8 & 94.1 & 92.6 & 92.8 & 94.7 \\[-\normalbaselineskip]
}\only<3>{\\}
\only<2,3>{
&\multicolumn{6}{c}{$\alpha$=0.5}\\
H=2 & 95.0 & 91.4 & 91.2 & 79.5 & 99.9 & \\
H=3 & 95.6 & 95.1 & 95.1 & 87.6 & 95.1 & \\
H=4 & 95.0 & 94.8 & 94.8 & 90.3 & 93.5 & 95.5 \\
H=5 & 95.2 & 95.1 & 95.2 & 91.3 & 93.1 & 95.9 \\
H=6 & 94.9 & 94.8 & 94.8 & 92.6 & 93.4 & 95.5 \\[-\normalbaselineskip]
}
\\\hline
\end{tabular}
\end{table}
\end{frame}
\end{document}
Another possibility, producing a different kind of overlay, is to use \onslide:
\documentclass{beamer}
\begin{document}
\begin{frame}
\begin{table}
\caption{Table}
\begin{tabular}{l c c c c c c}
\hline \hline
No. & {Ordinary} & {Blue} & {Pink} & {Yellow} & {Green} & {RCM}\ \hline
\onslide<1->{
&\multicolumn{6}{c}{$\alpha$=0.05}\\
H=2 & 95.0 & 75.3 & 75.7 & 79.5 & 72.0 &\\
H=3 & 95.6 & 87.0 & 87.3 & 87.6 & 85.2 & \\
H=4 & 95.0 & 91.6 & 91.9 & 90.3 & 90.2 & 93.3\\
H=5 & 95.2 & 93.5 & 93.7 & 91.3 & 91.8 & 94.3\\
H=6 & 94.9 & 93.8 & 94.1 & 92.6 & 92.8 & 94.7 \\
}
\onslide<2>{
&\multicolumn{6}{c}{$\alpha$=0.5}\\
H=2 & 95.0 & 91.4 & 91.2 & 79.5 & 99.9 & \\
H=3 & 95.6 & 95.1 & 95.1 & 87.6 & 95.1 & \\
H=4 & 95.0 & 94.8 & 94.8 & 90.3 & 93.5 & 95.5 \\
H=5 & 95.2 & 95.1 & 95.2 & 91.3 & 93.1 & 95.9 \\
H=6 & 94.9 & 94.8 & 94.8 & 92.6 & 93.4 & 95.5 \\[-\normalbaselineskip]
}
\\\hline
\end{tabular}
\end{table}
\end{frame}
\end{document}
