Optimizing effective numbers of tests by vine copula modeling

DOI10.1515/DEMO-2020-0010zbMATH Open1457.62229arXiv2002.10281OpenAlexW3087012569MaRDI QIDQ828043FDOQ828043

Thorsten Dickhaus, Nico Steffen

Publication date: 14 January 2021

Published in: Dependence Modeling (Search for Journal in Brave)

Abstract: In the multiple testing context, we utilize vine copulae for optimizing the effective number of tests. It is well known that for the calibration of multiple tests (for control of the family-wise error rate) the dependencies between the marginal tests are of utmost importance. It has been shown in previous work, that positive dependencies between the marginal tests can be exploited in order to derive a relaxed Sidak-type multiplicity correction. This correction can conveniently be expressed by calculating the corresponding "effective number of tests" for a given (global) significance level. This methodology can also be applied to blocks of test statistics so that the effective number of tests can be calculated by the sum of the effective numbers of tests for each block. In the present work, we demonstrate how the power of the multiple test can be optimized by taking blocks with high inner-block dependencies. The determination of those blocks will be performed by means of an estimated vine copula model. An algorithm is presented which uses the information of the estimated vine copula to make a data-driven choice of appropriate blocks in terms of (estimated) dependencies. Numerical experiments demonstrate the usefulness of the proposed approach.

Full work available at URL: https://arxiv.org/abs/2002.10281

zbMATH Keywords

family-wise error ratemultiple testingKendall's \(\tau \)[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Di%EF%BF%BD%EF%BF%BDmann+algorithm&go=Go Di��mann algorithm]global significance levellocal significance levels

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17) Paired and multiple comparisons; multiple testing (62J15)

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Cited In (1)

• Erratum to: ``Optimizing effective numbers of tests by vine copula modeling

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