Simultaneous Confidence Intervals for the General Linear Model

Abstract
This paper describes, compares, and illustrates four known simultaneous confidence interval procedures for the general linear model. It is shown that three of the four procedures can be ordered by the increasing length of their confidence intervals as follows: (i) Sidak multivariate t-distribution intervals, (ii) Sidak independent t-distribution intervals, and (iii) Bonferroni intervals. There is no uniform ordering between the confidence intervals yielded by the fourth procedure (Scheffe) and the other three; these relationships are explored numerically.

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