Biometrika Trust

An Improved Bonferroni Inequality and Applications

Author(s): K. J. Worsley
Source: Biometrika, Vol. 69, No. 2 (Aug., 1982), pp. 297-302
Published by: Biometrika Trust
Stable URL: http://www.jstor.org/stable/2335402 .
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Biornetrilka
(1982) 69 2 pp. 297-302 297
Printedtn GreatBrttatn

An improvedBonferroniinequalityand applications
BY K. J. WORSLEY
Departmentof Mathematics,McGill University,
Montreal,Quebec,Canada

SUMMARY
We presentan improvedBonferroniinequalitywhichgives an upper bound forthe
probabilityofthe unionof an arbitrarysequence ofevents.The bound is constructedin
termsof the joint probabilityof pairs of events,which are representedby edges on a
graph. Examples of applicationsto periodicity,location shiftdetection,Kolmogorov-
Smirnovtests and outlierdetectionare given.
Some keywords:Bonferroniinequality; Periodicity;Location shiftdetection;Kolmogorov-Smirnovtest;
Outlier.

1. INTRODUCTION
Many authorshave used the Bonferroniinequalityto provideupperand lowerbounds
forthe probabilityof the union of a sequence of events A1, ..., An:
n n n n \ n
E pr(Ai)-EEpr(Ai niAj) < pr(U/= Ai) E
ipr(Ai). (1)
i=1 i<j i=i

IfAi is theeventthata randomvariableXi > c (i = 1,..., n) andweareinterested

inthe
distributionofX = max(Xi),then(1) givesupperand lowerboundsforpr(X > c). This
methodhas beenusedby David (1956)forthemaximumF ratio,by David & Newell
(1965) fortestingperiodicity,
by McDonald& Thompson(1967) formultiplecom-
parisonsandbyChew(1968)forsimultaneous prediction. Severalauthorshaveusedthis
methodforoutlierdetection:see Thompson& Wilke(1963),Joshi(1972),Stefansky
(1972),Ellenberg(1976)and Galpin& Hawkins(1981).Recentlytheinequality(1) and
someextensions havebeenusedbyMargolin & Maurer(1976)forKolmogorov-Smirnov
testsand by Worsley(1979)forlocationshiftdetection.

2. AN IMPROVED BOUND
Usuallytheupperbound(1) is moreimportant becauseitprovidesa conservative
test,
yet it is not so accurateas the lowerbound.The upperboundis improvedby the
following result.

THEOREM 1. RepresenteventsA1 Anas verticesvl, ..., vnof a graph G, whereverticesvi

...
and vj arejoined byan edgeeijifand onlyifAi and Aj are notmutuallyexclusive.Let T bea
subgraphof G. Then
n n
pr A Epr (Ai)- E pr(Ai n Aj) (2)
i{i,j:eije T}

(2) is an equalityif G is itselfa treeand T = G.

if and onlyif T is a tree.Furthermore

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 298 K. J. WORSLEY
Proof. If T is a tree it is always possible to find a permutation Pt' . . .,P, of 1, ..., n so
that vpiis joined to vpj= vPi,say forsomej < i (i =2, ..., n). We can write
n

i= 1
UAi = Ap1 u (AP2\A2) . (APn\Apn) (3)

Applicationof Bonferroni'sinequality to (3) proves (2). If T = G is a tree, then the

eventson the right-handside of (3) are mutuallyexclusiveand so (2) is an equality. If T
is not a treeit must containa circuit.Makingall events representedby verticeson the
circuitequal and nonempty,and all the otherevents empty,we get zero on the right-
hand side of (2) and so (2) is false.
Note that (2) is an equality not onlywhenA1, ..., A,,are mutuallyexclusive,but also
when they are the same. In particularthis means that (2) should be a close bound for
pr (X > c) when c is small as well as when c is large.

COROLLARY 1. We have
n n n-l
pr A /
pr(Ai)-A pr(Ai n Ai+1). (4)
i=l i=l ~~~~i=l1

Proof.Let T = {e12, e23, ... en- 1,n}

Earlier resultsby previousauthorsnow followfromTheorem1.

COROLLARY 2 (Kounias, 1968). Let J1, . be a partition of {I,

Jm,J ..., n}, and let
jk C Jk (k = 1,...,m). Then
n \ n m
pr U Ai |< E pr(Ai)-E E pr(Air) AJk).
k = 1 ie Jk\jk

Proof.Let
m
T= U {eiJk. i E Jk\jk},
k=1

i.e. a set of disjointstars.

COROLLARY 3 (Kwerel,1975). We have that

n \ n n
PI U Ai )< E pr(Ai)-(2/n) E pr(Ai n Aj).
i=_
i=_ i<j

Proof.From Corollary2 withm = 1, we have

n n
Pr U Ai E pr(Ai) - Epr (Ai n Aj),

and averagingoverj = 1, ..., n proves the result.

The least upperbound is foundby maximizingthe secondtermin (2) over all possible
trees.An algorithmforfindingmaximumspanningtreesis given by Kruskal (1956). It

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 An improvedBonferroniinequality 299
can be shownthat the maximumspanningtreedependsonlyon the orderingofthe edge
weightsand so it is not necessaryto calculate pr (Ai n Aj) forall i,j ifwe have a simpler
quantitywhichis a monotonicincreasingfunctionofit. For example ifXi and Xj have a
joint normal distributionthen we can findthe maximum spanning tree using their
correlationcoefficientas an edge weightin place of pr (Ai n Aj).

3. EXAMPLES
3-1. Peak periodsofa disease
Let Ni be the total occurrencesof a disease in the six monthperiod startingwith
month i (i = 1..., 12). David & Newell suggest a simple test for periodicity based on
V = max (I Ui I), where Ui = (Ni-Ni+ 6)/N' and N = Ni + Ni+ 6 (i = 1, ..., 6), the total
numberof occurrencesthroughoutthe year. If the occurrencesare independentand
equally likelyin any monththen U1,..., U6 are asymptoticallynormalconditionalon N,
with covariance Pi, i+h = 1 -h/3 between Ui and Ui+h (i = 1, ..., 6; h = 0, ..., 6-i). Let Ai
be the event that IUiI > c (i = 1,..., 6) so that pr (V > c) = pr (u Ai). David & Newell
findboundsfortheleveloccriticalpointsof V by equatingtheupperand lowerbounds(1)
to ocand solvingforc. An alternativeupperboundfornormalrandomvariables,givenby
Sid'ak (1968), is slightlylowerthan the Bonferroniupper bound (1):
n \ n
pr U Ai) 1-_ {1-pr(Ai)}. (5)
i=l i=l

We shall now use Theorem1 to improvetheupperbound. In thiscase pr (Ai n Aj) is a

monotonicincreasingfunctionof I i. The largest correlationsbetween Ui and Ui+ h
occurforh = 1 and so a maximumspanningtreeis T = {e12, e23, ..., e56} giving(4) as a
least upper bound.
Exact level occriticalpointswerefoundby extendingthe Bonferroniinequality(1) to
includehigherorderterms.The boundsare comparedat thesepointsin Table 1(a). It can
be seen thatbound (4) is thelowestoftheupperboundsbut thatthelowerbound (1) is in
fact closer to the true level oc.

Table 1. Bounds (a) forpr ( V > c) at levelc pointof V; (b) forpr (t > c) at levelocpointsoft
(a) c = pr(V > c) = (b) oc= pr(t > c) =
0 10 0 05 0-01 0-10 0 05 0-01
c = 2-247 c = 2-537 c = 3 095 c = 3-14 c = 3 66 c = 4-93
Bonferroniupper bound (1) 0-1478 00671 0-0118 0-124.2 0-0576 00104
Sldak upper bound (5) 0-1390 00652 0-0117
Improvedupper bound (4) 0-1170 0-0556 0-0105 0 1028 0-0508 0-0100
Bonferronilowerbound (1) 0-0981 00498 0-0100 00937 0-0492 0-0100

3-2. Locationshiftdetection
If Y1,..., Yn is a sequence of independentnormal observations,then the likelihood
ratio test fora shiftin location afterobservationi is based on t = max (I tiI ), wheretiis
the usual t statisticfora difference in mean betweenthe firsti observationsand the last
n-i observations for i = 1, .. ., n- 1 (Sen & Srivastava, 1975). Let Ai be the event that
tiI > c (i = 1,..., n-1), so that pr (t > c) = pr (u Ai). Hawkins (1977) finds upper
boundsforleveloccriticalpointsoft usingtheupperbound ( 1). Some exact criticalpoints
are obtained by Worsley(1979) usingextensionsof (1).

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300 K. J. WORSLEY
Again it can be shown that pr (Ai n Aj) is a monotonic increasing function of the
correlation coefficientp = {i/(n-i)}2{ j/(n-j)}- (1 < i < j < n-1). This enables us to
2

prove that the maximum spanning tree is T = {e12,e23, ..., en2,n_1}. For if we add any
edge eij (i < j + 1) that is not in T, to T and remove an edge ekk+ 1 forsome i < k < j then
the resulting tree has less weight since Pij < Pk, k+ . Hence (4) is the least upper bound.
These bounds are compared at some exact critical points for n = 10 observations in
Table 1(b). It can be seen that the upper bound (4) is closer to the true level octhan all
other upper or lower bounds.

tests
3.3. Kolmogorov-Smirnov
Let D denote the Kolmogorov-Smirnov type one-sample statistic to test goodness of
fit of a random variable X in the presence of unknown nuisance parameters 0. Durbin
(1975) obtained the distribution of D in terms of a Fourier transform,whereas Margolin
& Maurer (1976) used (1) and generalizations of inequalities given by Kounias. Let
F(X(i), 0) be the distribution function of X evaluated at the ith order statistic X(i) of a
sample of size n, with 0 estimated by the maximum likelihood estimator 0, and let

Di= F(X(i), )-(i--)/n I + 1/(2n) (i = 1, ...,n).

Then D = max (Di) and pr (D > d) = pr (u Ai), where Ai is the event Di > d
(i = II..., n). For an exponential distribution with unknown parameter, n = 7 and
d = 0 309, Margolin & Maurer obtained the joint probabilities shown in Table 2.

Table 2. Values ofpr (Ai n Aj) tofourdecimalplaces

i j=2 j=3 j=4 j=5 j=6 j=7
1 0-0213 00041 00000 00000 00003 00000
2 00105 00000 00000 0-0000 0-0000
3 00071 0-0026 00006 0-0000
4 0-0081 0-0017 0-0000
5 0-0035 00000
6 00000

The maximum spanning tree is T = .es2, e23,o.., e67}, so that the least upper bound!
and
given by (4), is pr (D > 0(309) < 0 2057. The true value lies between 0 2030 and 0(202(15,
the upper and lower bounds given by (1) are 0-2562 and 0 1963. The bound (4) is more
accurate than all other upper and lower bounds calculated from probabilities
pr (Ai n Aj) by Margolin & Maurer.

3 4. Outlierdetection
The statistic commonly used to detect an outlier froma linear regression with normal
errors is the maximum absolute studentized least-squares residual. If the residuals
el,..., en all have the same variance then this is equivalent to the statistic
Z = max (Zi I) where Zi = ei/(Xej)' is the ith normed residual. Stefansky uses Z to test
for an outlier from a two-way factorial design. Let Ai be the event that
Zi I > z (i = 1, ..., n) so that pr (Z > z) = pr (u Ai). Stefansky finds bounds for level oc
critical points of Z by equating the upper and lower bounds (1) to c and solving for z.
Let Pi be the correlation between ei and ej. Then it can be shown that pr (Ai rn Aj) is a

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 An improvedBonferroniinequality 301
monotonicincreasingfunctionof IpijI, say H(z, IpijI). If the design has R rows and C
columns then p,, = - 1/(C- 1) between residuals in the same row, pij = - 1/(R- 1)
betweenresidualsin the same columnand pij= 1/{(R- 1) (C-1 )Jotherwise.If R > C,
thena maximumspanningtreeis formedby linkingall residualsin each roxVand in one
column.The least upper bound (2) is
pr (Z > z) = RCH(z, 1)-R(C-1) H{z, 1/(C-1 )}-(R-1) H{z, 1/(R-1 )} (6)
For R = 9, C = 3 and oc= 0 1, Stefanskyobtains 0506 < z < 0511. Using (6) we find
z < 0 510, only a slightimprovement,whereas the true value obtained by Galpin &
Hawkins is z = 05063.

4. CONCLUSION
The inequality (2) is sharpest when the events Ai and Ai have high positive
dependence.If A 1,..., Anare independentthenthelowerbound (1) is always closerto the
true value than the upper bound (2) whenever (2) is less than unity. For outlier
detection,(2) does not performwell because residualsare almostindependent.However
ifthe sequenceA1, ..., Anis such thatpr(Ai n Aj) < pr (Ak n Ak+ 1) wheneveri < k < j,
thenthe least upperbound is always (4), and thisbound appears to be veryclose to the
true value.

This work was supportedin part by a National Science and EngineeringResearch

Council Grant and by a Foundation de Chercheurset d'Action ConcerteeSubvention.
The authorthanksthe refereefora clarificationof Theorem 1.

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[Received October1981. Revised December 19811

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