Multiple testing. Part II. Step-down procedures for control of the family-wise error rate

The present article proposes two step-down multiple testing procedures for asymptotic control of the family-wise error rate (FWER): the first procedure is based on maxima of test statistics (step-down maxT), while the second relies on minima of unadjusted p-values (step-down minP). A key feature of our approach is the characterization and construction of a test statistics null distribution (rather than data generating null distribution) for deriving cut-offs for these test statistics (i.e., rejection regions) and the resulting adjusted p-values. For general null hypotheses, corresponding to submodels for the data generating distribution, we identify an asymptotic domination condition for a null distribution under which the step-down maxT and minP procedures asymptotically control the Type I error rate, for arbitrary data generating distributions, without the need for conditions such as subset pivotality. Inspired by this general characterization, we then propose as an explicit null distribution the asymptotic distribution of the vector of null value shifted and scaled test statistics. Step-down procedures based on consistent estimators of the null distribution are shown to also provide asymptotic control of the Type I error rate. A general bootstrap algorithm is supplied to conveniently obtain consistent estimators of the null distribution.