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VOL. 47 | 2004 Approximations to multivariate $t$ integrals with application to multiple comparison procedures
Alan Genz, Frank Bretz, Yosef Hochberg

Editor(s) Y. Benjamini, F. Bretz, S. Sarkar

Abstract

Various multiple comparison procedures involve the evaluation of multivariate normal and $t$ integrals with non-decomposable correlation matrices. While exact methods exist for their computations, it is sometimes necessary to consider simpler and faster approximations. We consider approximations based on approximations to the correlation matrix (methods which provide no error control) as well as inequality based methods (where, by definition, the sign of the error is known). Comparisons of different methods, to assess accuracy, are given for particular multiple comparison problems which require high-dimensional integrations.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62074
MathSciNet: MR2118589

Digital Object Identifier: 10.1214/lnms/1196285623

Subjects:
Primary: 62H15
Secondary: 62P10

Rights: Copyright © 2004, Institute of Mathematical Statistics

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