A general nonparametric approach to asymptotic multiple test procedures is proposed which is based on relative effects and which includes continuous as well as discontinuous distributions. The results can be applied to all relevant multiple testing problems in the one-way layout and include the well known Steel tests as special cases. Moreover, a general estimator for the asymptotic covariance matrix is considered that is consistent even under alternative. This estimator is used to derive simultaneous confidence intervals for the relative effects as well as a test procedure for the multiple nonparametric Behrens-Fisher problem.
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Munzel et al. (2001) studied this question.