Improving Holm's procedure using pairwise dependencies

Sanat K. Sarkar, Yiyong Fu and Wenge Guo

Biometrika, 2016, vol. 103, issue 1, 237-243

Abstract: Seneta & Chen (2005) tightened the familywise error rate control of Holm's procedure by sharpening its critical values using pairwise dependencies of the $p$-values. In this paper we further sharpen these critical values in the case where the distribution functions of the pairwise maxima of null $p$-values are convex, a property shown to hold in some applications of Holm's procedure. The newer critical values are uniformly larger, providing tighter familywise error rate control than the approach of Seneta & Chen (2005), significantly so under high pairwise positive dependencies. The critical values can be further improved under exchangeable null $p$-values.

Date: 2016
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