Optimizing effective numbers of tests by vine copula modeling

DOI10.1515/DEMO-2020-0010MaRDI QIDQ828043zbMATH OpenOpenAlexFDO

Authors Nico Steffen, Thorsten Dickhaus

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

family-wise error ratemultiple testingKendall's \(\tau \)global significance levellocal significance levelsDißmann algorithm

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)

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.

Recommendations

• Multivariate Multiple Test Procedures
• Multivariate multiple test procedures based on nonparametric copula estimation
• Uncertainty quantification for the family-wise error rate in multivariate copula models
• A goodness-of-fit test for regular vine copula models
• Asymptotic optimality of the Westfall-Young permutation procedure for multiple testing under dependence

Cites work

• scientific article; zbMATH DE number 838305 (Why is no real title available?)
• Adaptive designs with arbitrary dependence structure
• Adaptive designs with arbitrary dependence structure based on Fisher's combination test
• Analyzing dependent data with vine copulas. A practical guide with R
• Archimedean copulae and positive dependence
• Computing and approximating multivariate chi-square probabilities
• Copulas, uncertainty, and false discovery rate control
• False discovery rate control under Archimedean copula
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Multivariate multiple test procedures based on nonparametric copula estimation
• Probability Inequalities for Multivariate Distributions with Dependence Structures
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Selecting and estimating regular vine copulae and application to financial returns
• Simultaneous Statistical Inference
• Simultaneous test procedures in terms of \(p\)-value copulae
• Uncertainty quantification for the family-wise error rate in multivariate copula models

Cited in

(1)

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

This page was built for publication: Optimizing effective numbers of tests by vine copula modeling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q828043)