Bound on FWER for correlated normal

Nabaneet Das and Subir Kumar Bhandari

Statistics & Probability Letters, 2021, vol. 168, issue C

Abstract: We have considered equicorrelated observations from normal distribution for simultaneous testing problem. In this article, we have shown that FWER asymptotically is a convex function of the correlation (ρ) and hence an upper bound on the FWER of Bonferroni-α procedure is α(1−ρ). This implies that Bonferroni’s method actually controls the FWER at a much smaller level than the desired level of significance under the positively correlated case and necessitates a correlation correction.

Keywords: FWER; Bonferroni’s method; Correlated; Multiple hypothesis testing (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.108943

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