Correction Factor of FWER for Normal Distribution in Nearly Independent Setup

Abstract

In this paper, we have attempted to study the behaviour of the family wise error rate (FWER) for Bonferroni's procedure in a nearly independent setup for normal distribution. In search for a suitable correlation penalty, it has been noted that the root mean square (RMS) of correlations is not appropriate under this setup as opposed to the study of \cite{efron2007correlation}. We have provided a suitable correction factor for deviation from independence and approximated the FWER under this nearly independent setup.