Empirical Bayes interval estimates that are conditionally equal to unadjusted confidence intervals or to default prior credibility intervals

DOI10.1515/1544-6115.1765zbMATH Open1296.92018arXiv1012.6033OpenAlexW3098349241WikidataQ47909025 ScholiaQ47909025MaRDI QIDQ458841FDOQ458841

Authors: David R. Bickel 

Publication date: 8 October 2014

Published in: Statistical Applications in Genetics and Molecular Biology (Search for Journal in Brave)

Abstract: The proposed approach extends the confidence posterior distribution to the semi-parametric empirical Bayes setting. Whereas the Bayesian posterior is defined in terms of a prior distribution conditional on the observed data, the confidence posterior is defined such that the probability that the parameter value lies in any fixed subset of parameter space, given the observed data, is equal to the coverage rate of the corresponding confidence interval. A confidence posterior that has correct frequentist coverage at each fixed parameter value is combined with the estimated local false discovery rate to yield a parameter distribution from which interval and point estimates are derived within the framework of minimizing expected loss. The point estimates exhibit suitable shrinkage toward the null hypothesis value, making them practical for automatically ranking features in order of priority. The corresponding confidence intervals are also shrunken and tend to be much shorter than their fixed-parameter counterparts, as illustrated with gene expression data. Further, simulations confirm a theoretical argument that the shrunken confidence intervals cover the parameter at a higher-than-nominal frequency.

Full work available at URL: https://arxiv.org/abs/1012.6033

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• scientific article; zbMATH DE number 1067781

zbMATH Keywords

credible intervalmultiple testingempirical Bayeslarge-scale inferenceconfidence distributionobjective Bayesian analysisconfidence posteriorhigh-dimensional biologyhybrid inferencelocal false discovery ratemultiple comparison procedureobjective Bayes factorobserved confidence level

Mathematics Subject Classification ID

General biostatistics (92B15) Empirical decision procedures; empirical Bayes procedures (62C12)

Cited In (14)

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• Game-theoretic probability combination with applications to resolving conflicts between statistical methods
• Accounting for estimation uncertainty and shrinkage in Bayesian within-subject intervals: a comment on Nathoo, Kilshaw, and Masson (2018)
• Confidence distributions and empirical Bayes posterior distributions unified as distributions of evidential support
• Null Hypothesis Significance Testing Interpreted and Calibrated by Estimating Probabilities of Sign Errors: A Bayes-Frequentist Continuum
• Confidence distributions applied to propagating uncertainty to inference based on estimating the local false discovery rate: a fiducial continuum from confidence sets to empirical Bayes set estimates as the number of comparisons increases
• Simple estimators of false discovery rates given as few as one or two \(p\)-values without strong parametric assumptions
• A frequentist framework of inductive reasoning
• Bayesian, classical and hybrid methods of inference when one parameter value is special
• A better (Bayesian) interval estimate for within-subject designs
• Confidence distributions: a review
• Small-scale inference: empirical Bayes and confidence methods for as few as a single comparison
• Approximated Bayes and empirical Bayes confidence intervals - the known variance case
• Interval estimation, point estimation, and null hypothesis significance testing calibrated by an estimated posterior probability of the null hypothesis

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