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I refer to this article http://www.scientificamerican.com/article.cfm?id=the-mind-reading-salmon.

Is there a p-value equivalent for a set of significance tests, especially in the case where some of the tests are correlated? By correlated I mean that they are not completely independent, and considering them completely independent would underestimate the significance of a good test.

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Many specific examples can be found at multiple-comparisons. – whuber♦ Aug 15 '11 at 13:43
@RockScience So are you wanting an answer to the question: If the outcome of a set of significance tests are correlated, what is the probability of making one or more Type I errors if the null hypothesis is true for all tests? – Jeromy Anglim Aug 17 '11 at 8:58

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