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I want to evaluate several "classifiers" (machine-learning algorithms) with paired samples. I do not want to compare each algorithms' performance to every other (n x m comparison) but only compare the performance of each algorithm to one baseline (n x 1 comparison).

An often quoted paper in the field [1] uses the Friedman test for omnibus testing and suggests the following for post-hoc tests:

When all classifiers are compared with a control classifier, we can instead of the Nemenyi test use one of the general procedures for controlling the family-wise error in multiple hypothesis test-ing, such as the Bonferroni correction or similar procedures.

Can I thus use any test for the comparison of 2 groups with paired samples and apply a bonferroni (or less conservative) correction to the p-values? Is a Wilcoxon Signed-Rank test appropriate here?

[1] Demsar, J. (2006). Statistical Comparisons of Classifiers over Multiple Data Sets. Journal of Machine Learning Research, 7, 1–30.

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    $\begingroup$ Do you mean the Friedman test? $\endgroup$ – Glen_b Oct 2 '14 at 23:58
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You can use Friedman test (or the correction named Iman-Davenport) to the the ranking of the methods. Then for the post-hoc procedure, for a 1xn comparison, you use a post-hoc with a control method.

Nemenyi is valid but not reccommended because it is a very conservative procedure and many of the obvious differences may not be detected. It's better to use procedures more powerful, such us holm or hochberg. The most powerful method are li and finner [1].

[1] S. García, A. Fernández, J. Luengo, F. Herrera, Advanced nonparametric tests for multiple comparisons in the design of experiments in computational intelligence and data mining: Experimental Analysis of Power. Information Sciences 180 (2010) 2044–2064. doi:10.1016/j.ins.2009.12.010

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    $\begingroup$ Thanks. Demsar suggests Nemenyi for n x m comparisons and Bonferroni/Hochberg/Holm for 1 x n testing against a control method. My question was: What is meant by "Bonferroni/Hochberg/Holm"? These are methods for adjusting p-values in multiple comparisons, but not statistical tests. So is it feasible to use Wilcoxon's signed-rank test for pairwise comparisons against the control method and then adjust the p-values? $\endgroup$ – Chris Oct 10 '14 at 12:25

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