Nonparametric Archimedean generator estimation with implications for multiple testing

摘要

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.