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Title: On the Simes inequality in elliptical models
Authors: Bodnar, TarasDickhaus, Thorsten
Issue Date: 2014
Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 1967, ISSN 2198-5855
Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract: We provide necessary and sufficient conditions for the validity of the inequality of Simes (1986) in models with elliptical dependencies. Necessary conditions are presented in terms of sufficient conditions for the reverse Simes inequality. One application of our main results concerns the problem of model misspecification, in particular the case that the assumption of Gaussianity of test statistics is violated. Since our sufficient conditions require nonnegativity of correlation coefficients between test statistics, we also develop exact tests for vectors of correlation coefficients.
Keywords: Covariance matrix; distributional transform; multiple testing; multivariate normal distribution; p-value; Student's t; total positivity
DDC: 510
License: This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Appears in Collections:Mathematik

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