On the Simes inequality in elliptical models
On the Simes inequality in elliptical models
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.
- Leibniz Association Germany
- Weierstrass Institute Germany
- Weierstrass Institute for Applied Analysis and Stochastics Germany
ddc:510, Covariance matrix -- distributional transform -- multiple testing -- multivariate normal distribution -- p-value -- Student's t -- total positivity, Covariance matrix, multiple testing, article, multivariate normal distribution, p-value, distributional transform, 510, Student's t, total positivity, 62J15, 62F03, 60E15
ddc:510, Covariance matrix -- distributional transform -- multiple testing -- multivariate normal distribution -- p-value -- Student's t -- total positivity, Covariance matrix, multiple testing, article, multivariate normal distribution, p-value, distributional transform, 510, Student's t, total positivity, 62J15, 62F03, 60E15
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