Simes' procedure is 'valid on average'

Einar Andreas Rødland

Biometrika, 2006, vol. 93, issue 3, 742-746

Abstract: Although Simes' modification of the Bonferroni procedure tends to perform very well, albeit often being slightly liberal for negatively dependent hypotheses, there are special cases where it fails more dramatically. We prove that these special cases are indeed special, applying only to specific significance levels, and obtain a strong bound on the average deviation of the Simes corrected P-value from the true probability over any interval of P-values. From this, it is argued that Simes' procedure should be expected to perform well except for pathological examples. Copyright 2006, Oxford University Press.

Date: 2006
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