Compatible simultaneous lower confidence bounds for the Holm procedure and other Bonferroni‐based closed tests

Abstract We consider the problem of simultaneously testing multiple one‐sided null hypotheses. Single‐step procedures, such as the Bonferroni test, are characterized by the fact that the rejection or non‐rejection of a null hypothesis does not take the decision for any other hypothesis into account. For stepwise test procedures, such as the Holm procedure, the rejection or non‐rejection of a null hypothesis may depend on the decision of other hypotheses. It is well known that stepwise test procedures are by construction more powerful than their single‐step counterparts. This power advantage, however, comes only at the cost of increased difficulties in constructing compatible simultaneous confidence intervals for the parameters of interest. For example, such simultaneous confidence intervals are easily obtained for the Bonferroni method, but surprisingly hard to derive for the Holm procedure. In this paper, we discuss the inherent problems and show that ad hoc solutions used in practice typically do not control the pre‐specified simultaneous confidence level. Instead, we derive simultaneous confidence intervals that are compatible with a certain class of closed test procedures using weighted Bonferroni tests for each intersection hypothesis. The class of multiple test procedures covered in this paper includes gatekeeping procedures based on Bonferroni adjustments, fixed sequence procedures, the simple weighted or unweighted Bonferroni procedure by Holm and the fallback procedure. We illustrate the results with a numerical example. Copyright © 2008 John Wiley & Sons, Ltd.