Non-parametric Archimedean generator estimation with implications for multiple testing.

@article{Neumann2019NonparametricAG,
  title={Non-parametric Archimedean generator estimation with implications for multiple testing.},
  author={Andre Neumann and Thorsten Dickhaus},
  journal={arXiv: Methodology},
  year={2019}
}
  • Andre Neumann, Thorsten Dickhaus
  • Published 2019
  • Mathematics
  • arXiv: Methodology
  • 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. 
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