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I am trying to answer my own previous question, with a permutation method.

I have a reference method $M_{ref}$ that I would like to compare with other methods $M_1$, $M_2$, $M_3$ when taking measurements (denoted scores from now on) from a data sample of size $N (N > 30)$. However, when comparing $M_{ref}$ with a method $M_i$, i do not have one kind of continuous score $S_j$, but several, say $S_1$, $S_2$, $S_3$, and $S_4$. So for each method, I have $N$ scores of type $S1$, $N$ scores of type $S2$, etc.

My question (still) is: how to obtain a non-parametric test p-value for each comparison $C_{i,j} = <M_{ref} \quad\text{Vs} \quad M_i>_{score=C_j}$. Please note I am not interested in any comparison between methods other than the reference method (e.g. $M_{2}$ Vs $M_3$ is of no interest), and comparisons between different kind of scores would not make sense.

So now i am trying to think of a way to test all the scores at the same time with permutation tests for a given method comparison, e.g. $M_{ref}$ Vs $M1$, and then simply use Bonferonni correction by multiplying by the number of times I compare methods this way (so by 4, because there are 4 methods comparison to do: $M_{ref}$ Vs $M1$, $M_{ref}$ Vs $M2$, etc.).

Now I am not sure of the proper way to test all the scores at the same time with permutation tests. Would the following (inspired from here) work?

    # Number of random reps
    nreps <- 10000
    # All these operations are realized across score columns, 
    # but randomly assigning sign the same way for all columns
    # [is that the main trick?]
    # Now we will randomly assign the sign of the difference
    Mref.vs.M1.S1.to.S4 <- Mref.S1.to.S4 - M1.S1.to.S4
    sample.means <- mean(Mref.vs.M1.S1.to.S4)
    cat("Mean differences for S1, S2, S3 and S4 are", sample.means, "\n")
    unsigned.diff <- abs(Mref.vs.M1.S1.to.S4)
    n <- length(unsigned.diff)
    for (i in 1:nreps) {
      # Draw N obs randomly from 1, -1
      signs <- sample(c(1, -1), size = n, replace = TRUE)  
      signed.diff <- unsigned.diff*signs
      # Calculate the mean with that arrangement of signs 
      # for S1, S2, S3 and S4
      means.random[i] <- mean(signed.diff)      
    }

    # The question is what percentage of those differences 
    # are greater than or equal to plus or minus sample.means
    # of S1, S2, S3 and S4
    percent.above <- length(means.random[means.random >= abs(sample.measn)])/nreps
    percent.below <- length(means.random[means.random <= abs(sample.means)*(-1)])/nreps
    percent.extreme <- percent.above + percent.below

    cat("The randomization test gives a probability under the null")
    cat("for S1, S2, S3 and S4 [4 p-values] of", percent.extreme, "\n\n")

Does this work or is it just equivalent to doing resampling multiple times for each score type, and the resulting p-values still need to be Bonferonni-corrected by multiplying by the number of score types (4 in this case) ?

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