Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Uncertainty quantification for the family-wise error rate in multivariate copula models
Weierstrass Institute for Applied Analysis and Stochastics, Germany.
Humboldt-University, Germany.ORCID-id: 0000-0001-7855-8221
Weierstrass Institute for Applied Analysis and Stochastics, Germany.
2015 (engelsk)Inngår i: AStA Advances in Statistical Analysis, ISSN 1863-8171, E-ISSN 1863-818X, Vol. 99, nr 3, s. 281-310Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We derive confidence regions for the realized family-wise error rate(FWER) of certain multiple tests which are empirically calibrated at a given (global)level of significance. To this end, we regard the FWER as a derived parameter of a multivariate parametric copula model. It turns out that the resulting confidence regions aretypically very much concentrated around the target FWER level, while generic multiple tests with fixed thresholds are in general not FWER-exhausting. Since FWERlevel exhaustion and optimization of power are equivalent for the classes of multipletest problems studied in this paper, the aforementioned findings militate strongly infavor of estimating the dependency structure (i.e., copula) and incorporating it in amultivariate multiple test procedure. We illustrate our theoretical results by considering two particular classes of multiple test problems of practical relevance in detail,namely multiple tests for components of a mean vector and multiple support tests.

sted, utgiver, år, opplag, sider
2015. Vol. 99, nr 3, s. 281-310
Emneord [en]
Delta method, Gumbel–Hougaard copula, Multiple testing, Simultaneous test procedure, Subset pivotality
HSV kategori
Forskningsprogram
statistik
Identifikatorer
URN: urn:nbn:se:su:diva-127170DOI: 10.1007/s10182-014-0241-5OAI: oai:DiVA.org:su-127170DiVA, id: diva2:907189
Tilgjengelig fra: 2016-02-26 Laget: 2016-02-26 Sist oppdatert: 2020-03-05bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Søk i DiVA

Av forfatter/redaktør
Bodnar, Taras
I samme tidsskrift
AStA Advances in Statistical Analysis

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 31 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf