A practical ad hoc adjustment to the Simes P-value

Chris J. Lloyd

Statistics & Probability Letters, 2012, vol. 82, issue 7, 1297-1302

Abstract: For testing a set of null hypotheses, the chance of at least one significant result is much higher than the nominal size of each test. The P-value of Simes (1986) controls type-1 error under weak conditions and is far less conservative that the Bonferroni P-value when the tests are correlated. However, it can still be quite conservative. In this paper, I perform a large numerical experiment to measure this conservatism as a function of the correlation of the component P-values and the skewness of the underlying test statistics. The results are modelled, and they produce an adjustment to the Simes P-value which is close to exact for a wide range of correlations and distributional shapes.

Keywords: Multiple comparisons; Adaptive designs; Bonferroni adjustment (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.03.009

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