A practical ad hoc adjustment to the Simes P-value
For testing a set of null hypotheses, the chance of at least one significant result is much higher than the nominal size of each test. The P-value of Simes (1986) controls type-1 error under weak conditions and is far less conservative that the Bonferroni P-value when the tests are correlated. However, it can still be quite conservative. In this paper, I perform a large numerical experiment to measure this conservatism as a function of the correlation of the component P-values and the skewness of the underlying test statistics. The results are modelled, and they produce an adjustment to the Simes P-value which is close to exact for a wide range of correlations and distributional shapes.
Volume (Year): 82 (2012)
Issue (Month): 7 ()
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- Proschan, Michael A. & Shaw, Pamela A., 2011. "Asymptotics of Bonferroni for dependent normal test statistics," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 739-748, July.
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