On spike and slab empirical Bayes multiple testing
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Publication:2215749
DOI10.1214/19-AOS1897zbMATH Open1455.62035arXiv1808.09748MaRDI QIDQ2215749FDOQ2215749
Authors: Ismaël Castillo, Étienne Roquain 
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: This paper explores a connection between empirical Bayes posterior distributions and false discovery rate (FDR) control. In the Gaussian sequence model, this work shows that empirical Bayes-calibrated spike and slab posterior distributions allow a correct FDR control under sparsity. Doing so, it offers a frequentist theoretical validation of empirical Bayes methods in the context of multiple testing. Our theoretical results are illustrated with numerical experiments.
Full work available at URL: https://arxiv.org/abs/1808.09748
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Nonparametric hypothesis testing (62G10) Empirical decision procedures; empirical Bayes procedures (62C12) Paired and multiple comparisons; multiple testing (62J15)
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Cited In (17)
- Optimal false discovery control of minimax estimators
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