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2012-08-21Buch DOI: 10.18452/4422
Simultaneous test procedures in terms of p-value copulae
dc.contributor.authorDickhaus, Thorsten
dc.contributor.authorGierl, Jakob
dc.date.accessioned2017-06-16T00:42:52Z
dc.date.available2017-06-16T00:42:52Z
dc.date.created2012-11-16
dc.date.issued2012-08-21
dc.date.submitted2012-08-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5074
dc.description.abstractAt least since [1], a broad class of multiple comparison procedures, so-called simultaneous test procedures (STPs), is established in the statistical literature. Elements of an STP are a testing family, consisting of a set of null hypotheses and corresponding test statistics, and a common critical constant. The latter threshold with which each of the test statistics has to be compared is calculated under the (joint) intersection hypothesis of all nulls. Under certain structural assumptions, the so-constructed STP provides strong control of the family-wise error rate. More recently, a general method to construct STPs in the case of asymptotic (joint) normality of the family of test statistics has been developed in [2], and numerical solutions to compute the critical constant in such cases were provided. Here, we propose to look at the problem from a different perspective. We will show that the threshold can equivalently be expressed by a quantile of the copula of the family of pvalues associated with the test statistics, assuming that each of these p-values is marginally uniformly distributed on the unit interval under the corresponding null hypothesis. This offers the opportunity to exploit the rich and growing literature on copula-based modeling of multivariate dependency structures for multiple testing problems and in particular for the construction of STPs in non-Gaussian situations.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectfamily-wise error rateeng
dc.subjectmultiplicity correctioneng
dc.subjectsingle-step testeng
dc.subjectdistributional transformeng
dc.subjectmultiple hypotheses testingeng
dc.subjectsimultaneous statistical inferenceeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleSimultaneous test procedures in terms of p-value copulae
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100205652
dc.identifier.doihttp://dx.doi.org/10.18452/4422
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages10
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue49
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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