Adaptive sign error control

DOI10.1016/J.JSPI.2019.01.002MaRDI QIDQ2317300zbMATH OpenOpenAlexWikidataFDO

Authors Chaoyu Yu, Peter D. Hoff

Publication date 9 August 2019

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.00152

zbMATH Keywords

false discovery ratehierarchical modelmultiple testingempirical Bayes

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Paired and multiple comparisons; multiple testing (62J15)

Abstract: In multiple testing scenarios, typically the sign of a parameter is inferred when its estimate exceeds some significance threshold in absolute value. Typically, the significance threshold is chosen to control the experimentwise type I error rate, family-wise type I error rate or the false discovery rate. However, controlling these error rates does not explicitly control the sign error rate. In this paper, we propose two procedures for adaptively selecting an experimentwise significance threshold in order to control the sign error rate. The first controls the sign error rate conservatively, without any distributional assumptions on the parameters of interest. The second is an empirical Bayes procedure, and achieves optimal performance asymptotically when a model for the distribution of the parameters is correctly specified. We also discuss an adaptive procedure to minimize the sign error rate when the experimentwise type I error rate is held fixed.

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Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
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Cited in

(3)

• Changing statistical significance with the amount of information: the adaptive \(\alpha\) significance level
• Type S error for classical and Bayesian single and multiple comparison procedures
• Confidence Intervals for Nonparametric Empirical Bayes Analysis

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