SCoRE Sets: A Versatile Framework for Simultaneous Inference

Abstract

We study asymptotic statistical inference in the space of bounded functions endowed with the supremums norm over an arbitrary metric space $S$ using a novel concept: Simultaneous COnfidence Region of Excursion (SCoRE) Sets. They simultaneously quantify the uncertainty of several lower and upper excursion sets of a target function. We investigate their connection to multiple hypothesis tests controlling the familywise error rate in the strong sense and show that they grant a unifying perspective on several statistical inference tools such as simultaneous confidence bands, quantification of uncertainties in level set estimation, for example, CoPE sets, and multiple hypothesis testing over $S$, for example, finding relevant differences or regions of equivalence within $S$. In particular, our abstract setting allows us to refine and reduce the assumptions in recent articles on CoPE sets and relevance and equivalence testing using the supremums norm.