FWER Goes to Zero for Correlated Normal
Statistics Theory
2021-12-07 v2 Statistics Theory
Abstract
Familywise error rate (FWER) has been a cornerstone in simultaneous inference for decades, and the classical Bonferroni method has been one of the most prominent frequentist approaches for controlling FWER. The present article studies the limiting behavior of Bonferroni FWER in a multiple testing problem as the number of hypotheses grows to infinity. We establish that in the equicorrelated normal setup with positive equicorrelation, Bonferroni FWER tends to zero asymptotically. We extend this result for generalized familywise error rates and to arbitrarily correlated setups.
Keywords
Cite
@article{arxiv.2110.05070,
title = {FWER Goes to Zero for Correlated Normal},
author = {Monitirtha Dey and Subir Kumar Bhandari},
journal= {arXiv preprint arXiv:2110.05070},
year = {2021}
}
Comments
8 pages; typos corrected, references added. Earlier results extended to arbitrarily correlated setups