Bayesian multiple testing under sparsity for polynomial-tailed distributions

DOI10.5705/SS.202015.0362MaRDI QIDQ5278103zbMATH OpenOpenAlexFDO

Authors Xueying Tang, Ke Li, Malay Ghosh

Publication date 13 July 2017

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.08100

zbMATH Keywords

asymptotic optimalityBenjamini-Hochberg procedurefalse discovery ratePareto distributionStudent's \(t\) distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15)

Abstract: This paper considers Bayesian multiple testing under sparsity for polynomial-tailed distributions satisfying a monotone likelihood ratio property. Included in this class of distributions are the Student's t, the Pareto, and many other distributions. We prove some general asymptotic optimality results under fixed and random thresholding. As examples of these general results, we establish the Bayesian asymptotic optimality of several multiple testing procedures in the literature for appropriately chosen false discovery rate levels. We also show by simulation that the Benjamini-Hochberg procedure with a false discovery rate level different from the asymptotically optimal one can lead to high Bayes risk.

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Cited in

(9)

• Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences
• On spike and slab empirical Bayes multiple testing
• Asymptotic properties of Bayes risk of a general class of shrinkage priors in multiple hypothesis testing under sparsity
• Large-scale multiple hypothesis testing with the normal-beta prime prior
• \(L_2\)-tests for sparse multinomials
• Asymptotic Bayes-optimality under sparsity of some multiple testing procedures
• Asymptotic Bayes' optimality under sparsity for exchangeable dependent multivariate normal test statistics
• Bayesian multiple mean comparisons between two normal populations
• Ultra-sparse small area estimation with super heavy-tailed priors for internal migration flows

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