False discovery rate control under Archimedean copula

DOI10.1214/14-EJS950MaRDI QIDQ470503zbMATH OpenFDO

Authors Thorsten Dickhaus, Taras Bodnar

Publication date 12 November 2014

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

Full work available at URL https://arxiv.org/abs/1305.3897, https://projecteuclid.org/euclid.ejs/1414588192

zbMATH Keywords

exchangeability\(p\)-valuesClayton copulalinear step-up testmultiple hypotheses testingGumbel-Hougaard copula

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Paired and multiple comparisons; multiple testing (62J15)

Abstract: We are considered with the false discovery rate (FDR) of the linear step-up test $varph{i}^{LSU}$ considered by Benjamini and Hochberg (1995). It is well known that $varph{i}^{LSU}$ controls the FDR at level $m_{0}q/m$ if the joint distribution of $p$-values is multivariate totally positive of order 2. In this, $m$ denotes the total number of hypotheses, $m_0$ the number of true null hypotheses, and $q$ the nominal FDR level. Under the assumption of an Archimedean $p$-value copula with completely monotone generator, we derive a sharper upper bound for the FDR of $varph{i}^{LSU}$ as well as a non-trivial lower bound. Application of the sharper upper bound to parametric subclasses of Archimedean $p$-value copulae allows us to increase the power of $varph{i}^{LSU}$ by pre-estimating the copula parameter and adjusting $q$. Based on the lower bound, a sufficient condition is obtained under which the FDR of $varph{i}^{LSU}$ is exactly equal to $m_{0}q/m$, as in the case of stochastically independent $p$-values. Finally, we deal with high-dimensional multiple test problems with exchangeable test statistics by drawing a connection between infinite sequences of exchangeable $p$-values and Archimedean copulae with completely monotone generators. Our theoretical results are applied to important copula families, including Clayton copulae and Gumbel copulae.

Recommendations

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Cited in

(9)

• Detecting Structural Differences in Tail Dependence of Financial Time Series
• Optimizing effective numbers of tests by vine copula modeling
• Simultaneous test procedures in terms of \(p\)-value copulae
• Copulas, uncertainty, and false discovery rate control
• Copula modeling from Abe Sklar to the present day
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• Bounds for the Clayton copula
• Uncertainty quantification for the family-wise error rate in multivariate copula models
• Nonparametric Archimedean generator estimation with implications for multiple testing

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• nacopula

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