A rate optimal procedure for recovering sparse differences between high-dimensional means under dependence

DOI10.1214/16-AOS1459MaRDI QIDQ2012198zbMATH OpenFDO

Authors Jun Li, Ping-Shou Zhong

Publication date 28 July 2017

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.2839

zbMATH Keywords

false discovery ratemultiple testinghigh dimensional datathresholdingsparse signals

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Abstract: The paper considers the problem of identifying the sparse different components between two high dimensional means of column-wise dependent random vectors. We show that the dependence can be utilized to lower the identification boundary for signal recovery. Moreover, an optimal convergence rate for the marginal false non-discovery rate (mFNR) is established under the dependence. The convergence rate is faster than the optimal rate without dependence. To recover the sparse signal bearing dimensions, we propose a Dependence-Assisted Thresholding and Excising (DATE) procedure, which is shown to be rate optimal for the mFNR with the marginal false discovery rate (mFDR) controlled at a pre-specified level. Simulation studies and case study are given to demonstrate the performance of the proposed signal identification procedure.

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