What does "Sidak Correction" mean?

Definition of Sidak Correction in the context of A/B testing (online controlled experiments).

What is the Sidak Correction?

The Šidák correction is a method for controlling the Family-Wise Error Rate (FWER) in the strong sense and it is only slightly less conservative than the most conservative Bonferroni correction. This test produces a familywise Type I error rate of exactly α when the tests are independent from each other and all null hypotheses are true. For positively-correlated tests the procedure is conservative and it is liberal for negatively-correlated tests.

In practice the Šidák correction a good method when one compares two or more groups across a range of metrics, for example comparing bounce rate, conversion rate, average revenue per user and average site speed and considering each of the comparisons enough to make a call on the test. The correction is usually implemented by using the Šidák Step-Down procedure.

Related A/B Testing terms

Multiple Testing

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