Optimality of the Holm procedure among general step-down multiple testing procedures.

We study the class of general step-down multiple testing procedures, which contains the usually considered procedures determined by a nondecreasing sequence of thresholds (we call them threshold step-down, or TSD, procedures) as a parametric subclass. We show that all procedures in this class satisfying the natural condition of monotonicity and controlling the family-wise error rate (FWER) at a prescribed level are dominated by one of them - the classical Holm procedure. This generalizes an earlier result pertaining to the subclass of TSD procedures (Lehmann and Romano, Testing Statistical Hypotheses, 3rd ed., 2005). We also derive a relation between the levels at which a monotone step-down procedure controls the FWER and the generalized FWER (the probability of k or more false rejections).