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Quantitative Finance · Glossário

O que é Family-wise error rate, Bonferroni correction, Holm procedure?

Também chamado de: family-wise error rate · Bonferroni correction · Holm procedure

Definition 12.9 Quantitative Methods · Capítulo 12 — Testing and Multiple Testing

For mm hypotheses of which m0m_0 are true, the family-wise error rate (FWER) of a procedure is the probability that it rejects at least one true null. The Bonferroni correction rejects HiH_i when pi≤α/mp_i \le \alpha/m. The Holm procedure orders the pp-values p(1)≤⋯≤p(m)p_{(1)} \le \dots \le p_{(m)} and rejects H(1),…,H(k)H_{(1)}, \dots, H_{(k)}, where kk is the last index with p(j)≤α/(m−j+1)p_{(j)} \le \alpha/(m - j + 1) for every j≤kj \le k.

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