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Size of the tests with statistics P, M, W, G, and A (100 000 simulated values each), examined by plotting the ordered p-values (vertical axis) versus uniform quantiles (horizontal axis), for d = 3, k = 3, (n1, n2, n3) = (20, 30, 40), and ρ = 0.45, 0.60, 0.75, 0.85.
