Bound on FWER for correlated normal

Article Type

Research Article

Publication Title

Statistics and Probability Letters

Abstract

We have considered equicorrelated observations from normal distribution for simultaneous testing problem. In this article, we have shown that FWER asymptotically is a convex function of the correlation (ρ) and hence an upper bound on the FWER of Bonferroni-α procedure is α(1−ρ). This implies that Bonferroni's method actually controls the FWER at a much smaller level than the desired level of significance under the positively correlated case and necessitates a correlation correction.

DOI

10.1016/j.spl.2020.108943

Publication Date

1-1-2021

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