On generalized Simes critical constants

We consider the problem treated by Simes of testing the overall null hypothesis formed by the intersection of a set of elementary null hypotheses based on ordered p‐values of the associated test statistics. The Simes test uses critical constants that do not need tabulation. Cai and Sarkar gave a method to compute generalized Simes critical constants which improve upon the power of the Simes test when more than a few hypotheses are false. The Simes constants can be viewed as the first order (requiring solution of a linear equation) and the Cai‐Sarkar constants as the second order (requiring solution of a quadratic equation) constants. We extend the method to third order (requiring solution of a cubic equation) constants, and also offer an extension to an arbitrary kth order. We show by simulation that the third order constants are more powerful than the second order constants for testing the overall null hypothesis in most cases. However, there are some drawbacks associated with these higher order constants especially for , which limits their practical usefulness.