Nonparametric Archimedean generator estimation with implications for multiple testing

DOI10.1007/S10182-020-00363-8MaRDI QIDQ2218565zbMATH OpenOpenAlexFDO

Authors André Neumann, Thorsten Dickhaus

Publication date 15 January 2021

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

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

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)

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.

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Cited in

(3)

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

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Uses Software

• QRM

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