We describe a general method for finding a confidence region for a parameter vector that is compatible with the decisions of a two-stage closed test procedure in an adaptive experiment. The closed test procedure is characterized by the fact that rejection or nonrejection of a null hypothesis may depend on the decisions for other hypotheses and the compatible confidence region will, in general, have a complex, nonrectangular shape. We find the smallest cross-product of simultaneous confidence intervals containing the region and provide computational shortcuts for calculating the lower bounds on parameters corresponding to the rejected null hypotheses. We illustrate the method with an adaptive phase II/III clinical trial.
Keywords: Closed testing principle; Combination test; Conditional error; Multiple comparisons; Simultaneous inference.