Nonparametric Archimedean generator estimation with implications for multiple testing

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 nonparametric Archimedean generator estimators. More specifically, we use the nonparametric estimator from Genest et al...

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Bibliographic Details
Published in:Advances in statistical analysis : AStA : a journal of the German Statistical Society 2020-06, Vol.104 (2), p.309-323
Main Authors: Neumann, André, Dickhaus, Thorsten
Format: Article
Language:English
Subjects:
Econometrics
Economics
Finance
Insurance
Management
Mathematics and Statistics
Nonparametric statistics
Original Paper
Probability Theory and Stochastic Processes
Statistical tests
Statistics
Statistics for Business
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Summary: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 nonparametric Archimedean generator estimators. More specifically, we use the nonparametric estimator from Genest et al. (Test 20(2):223–256, 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.
ISSN:1863-8171
1863-818X
DOI:10.1007/s10182-020-00363-8