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Multivariate multiple test procedures based on nonparametric copula estimation
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.ORCID-id: 0000-0001-7855-8221
2019 (engelsk)Inngår i: Biometrical Journal, ISSN 0323-3847, E-ISSN 1521-4036, Vol. 61, nr 1, s. 40-61Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Multivariate multiple test procedures have received growing attention recently. This is due to the fact that data generated by modern applications typically are highdimensional, but possess pronounced dependencies due to the technical mechanisms involved in the experiments. Hence, it is possible and often necessary to exploit these dependencies in order to achieve reasonable power. In the present paper, we express dependency structures in the most general manner, namely, by means of copula functions. One class of nonparametric copula estimators is constituted by Bernstein copulae. We extend previous statistical results regarding bivariate Bernstein copulae to the multivariate case and study their impact on multiple tests. In particular, we utilize them to derive asymptotic confidence regions for the family-wise error rate (FWER) of multiple test procedures that are empirically calibrated by making use of Bernstein copulae approximations of the dependency structure among the test statistics. This extends a similar approach by Stange et al. (2015) in the parametric case. A simulation study quantifies the gain in FWER level exhaustion and, consequently, power that can be achieved by exploiting the dependencies, in comparison with common threshold calibrations like the Bonferroni or Šidák corrections. Finally, we demonstrate an application of the proposed methodology to real-life data from insurance.

sted, utgiver, år, opplag, sider
2019. Vol. 61, nr 1, s. 40-61
Emneord [en]
asymptotic oscillation behavior, family-wise error rate, p-value, risk management
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-164901DOI: 10.1002/bimj.201700205ISI: 000455537800004OAI: oai:DiVA.org:su-164901DiVA, id: diva2:1280654
Konferanse
10th International Conference on Multiple Comparison Procedures (MCP), Riverside, CA, USA, June 20-23, 2017
Tilgjengelig fra: 2019-01-20 Laget: 2019-01-20 Sist oppdatert: 2019-02-04bibliografisk kontrollert

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