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Published 2005

Read in Norwegian

Publication details

Journal : Statistics and computing , vol. 15 , p. 53–60 , 2005

International Standard Numbers :
Printed : 0960-3174
Electronic : 1573-1375

Publication type : Academic article

Contributors : Langsrud, Øyvind

Issue : 1

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Kjetil Aune
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Summary

This paper describes a generalised framework for doing Monte Carlo tests in multivariate linear regression. The rotation methodology assumes multivariate normality and is a true generalisation of the classical multivariate tests-any imaginable test statistic is allowed. The generalised test statistics are dependent on the unknown covariance matrix. Rotation testing handles this problem by conditioning on sufficient statistics.

Compared to permutation tests, we replace permutations by proper random rotations. Permutation tests avoid the multinormal assumption, but they are limited to relatively simple models. On the other hand, a rotation test can, in particular, be applied to any multivariate generalisation of the univariate F-test.

As an important application, a detailed description of how each single response p-value can be non-conservatively adjusted for multiplicity is given. This method is exact and non-conservative (unlike Bonferroni), and it is a generalisation of the ordinary F-test (except for the computation by simulations). Hence, this paper offers an exact Monte Carlo solution to a classical problem of multiple testing.