Nonparametric Archimedean generator estimation with implications for multiple testing

DOI10.1007/S10182-020-00363-8zbMATH Open1457.62102arXiv1903.11371OpenAlexW3009787653MaRDI QIDQ2218565FDOQ2218565

Authors: André Neumann, Thorsten Dickhaus 

Publication date: 15 January 2021

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Abstract: In multiple testing, the family-wise error rate can be bounded under some conditions by the copula of the test statistics. Assuming that this copula is Archimedean, we consider two non-parametric Archimedean generator estimators. More specifically, we use the non-parametric estimator from Genest et al. (2011) and a slight modification thereof. In simulations, we compare the resulting multiple tests with the Bonferroni test and the multiple test derived from the true generator as baselines.

Full work available at URL: https://arxiv.org/abs/1903.11371

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zbMATH Keywords

copulafamily-wise error rate\(p\)-valuesKendall's distribution function

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Paired and multiple comparisons; multiple testing (62J15)

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Cited In (3)

• Copulae: an overview and recent developments
• Uncertainty quantification for the family-wise error rate in multivariate copula models
• Multivariate multiple test procedures based on nonparametric copula estimation

Uses Software

• QRM

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