Asymptotic Results on Adaptive False Discovery Rate Controlling Procedures Based on Kernel Estimators

zbMATH Open1318.62252arXiv1003.0747MaRDI QIDQ2933848FDOQ2933848

Pierre Neuvial

Publication date: 8 December 2014

Abstract: The False Discovery Rate (FDR) is a commonly used type I error rate in multiple testing problems. It is defined as the expected False Discovery Proportion (FDP), that is, the expected fraction of false positives among rejected hypotheses. When the hypotheses are independent, the Benjamini-Hochberg procedure achieves FDR control at any pre-specified level. By construction, FDR control offers no guarantee in terms of power, or type II error. A number of alternative procedures have been developed, including plug-in procedures that aim at gaining power by incorporating an estimate of the proportion of true null hypotheses. In this paper, we study the asymptotic behavior of a class of plug-in procedures based on kernel estimators of the density of the $p$-values, as the number $m$ of tested hypotheses grows to infinity. In a setting where the hypotheses tested are independent, we prove that these procedures are asymptotically more powerful in two respects: (i) a tighter asymptotic FDR control for any target FDR level and (ii) a broader range of target levels yielding positive asymptotic power. We also show that this increased asymptotic power comes at the price of slower, non-parametric convergence rates for the FDP. These rates are of the form $m^{-k/(2k+1)}$, where $k$ is determined by the regularity of the density of the $p$-value distribution, or, equivalently, of the test statistics distribution. These results are applied to one- and two-sided tests statistics for Gaussian and Laplace location models, and for the Student model.

Full work available at URL: https://arxiv.org/abs/1003.0747

zbMATH Keywords

false discovery ratemultiple testingcriticalityadaptive controlconvergence rateskernel estimatorsBenjamini-Hochberg procedureplug-in procedurestest statistics distribution

Mathematics Subject Classification ID

Density estimation (62G07) Paired and multiple comparisons; multiple testing (62J15)

Cited In (6)

• On Efficient Estimators of the Proportion of True Null Hypotheses in a Multiple Testing Setup
• New procedures controlling the false discovery proportion via Romano-Wolf's heuristic
• Covariate-Assisted Ranking and Screening for Large-Scale Two-Sample Inference
• Adaptive and Dynamic Adaptive Procedures for False Discovery Rate Control and Estimation
• Adaptive \(p\)-value weighting with power optimality
• A fast reduced kernel extreme learning machine

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