Effects of statistical dependence on multiple testing under a hidden Markov model

DOI10.1214/10-AOS822MaRDI QIDQ2429937zbMATH OpenFDO

Authors Zhiyi Chi

Publication date 5 April 2011

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

Full work available at URL https://arxiv.org/abs/0904.1551

zbMATH Keywords

contractionFDRHMMmultiple hypothesis testingnonlinear filtering

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Hypothesis testing in multivariate analysis (62H15) Markov processes: hypothesis testing (62M02)

Abstract: The performance of multiple hypothesis testing is known to be affected by the statistical dependence among random variables involved. The mechanisms responsible for this, however, are not well understood. We study the effects of the dependence structure of a finite state hidden Markov model (HMM) on the likelihood ratios critical for optimal multiple testing on the hidden states. Various convergence results are obtained for the likelihood ratios as the observations of the HMM form an increasing long chain. Analytic expansions of the first and second order derivatives are obtained for the case of binary states, explicitly showing the effects of the parameters of the HMM on the likelihood ratios.

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Cited in

(4)

• False discovery variance reduction in large scale simultaneous hypothesis tests
• A double application of the Benjamini-Hochberg procedure for testing batched hypotheses
• Bayesian hidden Markov models for dependent large-scale multiple testing
• Selective inference for false discovery proportion in a hidden Markov model

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