Non-parametric Archimedean generator estimation with implications for multiple testing
Methodology
2019-03-28 v1
Abstract
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 non-parametric Archimedean generator estimators. More specifically, we use the non-parametric estimator from Genest et al. (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.
Cite
@article{arxiv.1903.11371,
title = {Non-parametric Archimedean generator estimation with implications for multiple testing},
author = {André Neumann and Thorsten Dickhaus},
journal= {arXiv preprint arXiv:1903.11371},
year = {2019}
}