Bayes multiple decision functions

DOI10.1214/13-EJS813MaRDI QIDQ1951157zbMATH OpenOpenAlexWikidataFDO

Authors Wensong Wu, Edsel A. Peña

Publication date 29 May 2013

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.0043, https://projecteuclid.org/euclid.ejs/1367585004

zbMATH Keywords

Archimedean copulaBayesian frameworkdecision theoretic frameworkfalse discovery ratefrailtymultiple testingsequential Monte Carlo

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Compound decision problems in statistical decision theory (62C25) Paired and multiple comparisons; multiple testing (62J15) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: This paper deals with the problem of simultaneously making many (M) binary decisions based on one realization of a random data matrix X. M is typically large and X will usually have M rows associated with each of the M decisions to make, but for each row the data may be low dimensional. A Bayesian decision-theoretic approach for this problem is implemented with the overall loss function being a cost-weighted linear combination of Type I and Type II loss functions. The class of loss functions considered allows for the use of the false discovery rate (FDR), false nondiscovery rate (FNR), and missed discovery rate (MDR) in assessing the decision. Through this Bayesian paradigm, the Bayes multiple decision function (BMDF) is derived and an efficient algorithm to obtain the optimal Bayes action is described. In contrast to many works in the literature where the rows of the matrix X are assumed to be stochastically independent, we allow in this paper a dependent data structure with the associations obtained through a class of frailty-induced Archimedean copulas. In particular, non-Gaussian dependent data structure, which is the norm rather than the exception when dealing with failure-time data, can be entertained. The numerical implementation of the determination of the Bayes optimal action is facilitated through sequential Monte Carlo techniques. The main theory developed could also be extended to the problem of multiple hypotheses testing, multiple classification and prediction, and high-dimensional variable selection. The proposed procedure is illustrated for the simple versus simple and for the composite hypotheses setting via simulation studies. The procedure is also applied to a subset of a real microarray data set from a colon cancer study.

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Cited in

(5)

• Classes of multiple decision functions strongly controlling FWER and FDR
• A Bayesian decision procedure for testing multiple hypotheses in DNA microarray experiments
• Binary classification with pFDR-pFNR losses
• Bayesian decision theoretic multiple comparison procedures: an application to phage display data
• Multivariate Bayesian function estimation

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