Estimation of the false discovery proportion with unknown dependence
From MaRDI portal
Abstract: Large-scale multiple testing with highly correlated test statistics arises frequently in many scientific research. Incorporating correlation information in estimating false discovery proportion has attracted increasing attention in recent years. When the covariance matrix of test statistics is known, Fan, Han & Gu (2012) provided a consistent estimate of False Discovery Proportion (FDP) under arbitrary dependence structure. However, the covariance matrix is often unknown in many applications and such dependence information has to be estimated before estimating FDP (Efron, 2010). The estimation accuracy can greatly affect the convergence result of FDP or even violate its consistency. In the current paper, we provide methodological modification and theoretical investigations for estimation of FDP with unknown covariance. First we develop requirements for estimates of eigenvalues and eigenvectors such that we can obtain a consistent estimate of FDP. Secondly we give conditions on the dependence structures such that the estimate of FDP is consistent. Such dependence structures include sparse covariance matrices, which have been popularly considered in the contemporary random matrix theory. When data are sampled from an approximate factor model, which encompasses most practical situations, we provide a consistent estimate of FDP via exploiting this specific dependence structure. The results are further demonstrated by simulation studies and some real data applications.
Recommendations
- Estimating false discovery proportion under arbitrary covariance dependence
- Estimating false discovery proportion in multiple comparison under dependency
- The effect of correlation in false discovery rate estimation
- A factor model approach to multiple testing under dependence
- Estimating the false discovery rate using the stochastic approximation algorithm
Cited in
(36)- False Discovery Rate Control Under General Dependence By Symmetrized Data Aggregation
- Factor-adjusted multiple testing of correlations
- A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
- Robust high-dimensional factor models with applications to statistical machine learning
- Conditional calibration for false discovery rate control under dependence
- False discovery rate control with unknown null distribution: is it possible to mimic the oracle?
- False discovery variance reduction in large scale simultaneous hypothesis tests
- Empirical Bayes analysis of RNA sequencing experiments with auxiliary information
- Estimating minimum effect with outlier selection
- Predicting False Discovery Proportion Under Dependence
- The effect of correlation in false discovery rate estimation
- Estimating the false discovery rate using the stochastic approximation algorithm
- Cauchy Combination Test: A Powerful Test With Analytic p-Value Calculation Under Arbitrary Dependency Structures
- Estimating false discovery proportion in multiple comparison under dependency
- Estimating false discovery proportion under arbitrary covariance dependence
- Farmtest: factor-adjusted robust multiple testing with approximate false discovery control
- Estimation of false discovery proportion in multiple testing: from normal to chi-squared test statistics
- Estimating and Accounting for Unobserved Covariates in High-Dimensional Correlated Data
- Some permutation symmetric multiple hypotheses testing rules under dependent setup
- Skilled Mutual Fund Selection: False Discovery Control Under Dependence
- A dynamic screening algorithm for hierarchical binary marketing data
- On the false discovery proportion convergence under Gaussian equi-correlation
- Multiple two-sample testing under arbitrary covariance dependency with an application in imaging mass spectrometry
- Overview of research advance for knockoff methods
- Quantile Correlation-based Variable Selection
- Multiple multi-sample testing under arbitrary covariance dependency
- A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
- A Decorrelating and Debiasing Approach to Simultaneous Inference for High-Dimensional Confounded Models
- Inference with approximate local false discovery rates
- Covariance Matrix Estimation for High-Throughput Biomedical Data with Interconnected Communities
- On limiting behaviors of stepwise multiple testing procedures
- Large-scale multiple testing for matrix-valued data under cross-dependency
- Fast autoregressive model for multivariate dependent outcomes with application to lipidomics analysis for Alzheimer's disease and APOE- 4
- Hypothesis testing under uniform-block covariance structures
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Testing of high dimensional mean vectors via approximate factor model
This page was built for publication: Estimation of the false discovery proportion with unknown dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5364902)
