Combining p-values via averaging
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Publication:5145696
Abstract: This paper proposes general methods for the problem of multiple testing of a single hypothesis, with a standard goal of combining a number of p-values without making any assumptions about their dependence structure. An old result by R"uschendorf and, independently, Meng implies that the p-values can be combined by scaling up their arithmetic mean by a factor of 2 (and no smaller factor is sufficient in general). A similar result about the geometric mean (Mattner) replaces 2 by . Based on more recent developments in mathematical finance, specifically, robust risk aggregation techniques, we extend these results to generalized means; in particular, we show that p-values can be combined by scaling up their harmonic mean by a factor of (asymptotically as ). This leads to a generalized version of the Bonferroni-Holm procedure. We also explore methods using weighted averages of p-values. Finally, we discuss the efficiency of various methods of combining p-values and how to choose a suitable method in light of data and prior information.
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