Farmtest: factor-adjusted robust multiple testing with approximate false discovery control

DOI10.1080/01621459.2018.1527700zbMATH Open1428.62345arXiv1711.05386OpenAlexW2963426032WikidataQ100504105 ScholiaQ100504105MaRDI QIDQ5208092FDOQ5208092

Authors: Yuan Ke, Qiang Sun, Wen-Xin Zhou, Jianqing Fan 

Publication date: 15 January 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Large-scale multiple testing with correlated and heavy-tailed data arises in a wide range of research areas from genomics, medical imaging to finance. Conventional methods for estimating the false discovery proportion (FDP) often ignore the effect of heavy-tailedness and the dependence structure among test statistics, and thus may lead to inefficient or even inconsistent estimation. Also, the commonly imposed joint normality assumption is arguably too stringent for many applications. To address these challenges, in this paper we propose a Factor-Adjusted Robust Multiple Testing (FarmTest) procedure for large-scale simultaneous inference with control of the false discovery proportion. We demonstrate that robust factor adjustments are extremely important in both controlling the FDP and improving the power. We identify general conditions under which the proposed method produces consistent estimate of the FDP. As a byproduct that is of independent interest, we establish an exponential-type deviation inequality for a robust $U$-type covariance estimator under the spectral norm. Extensive numerical experiments demonstrate the advantage of the proposed method over several state-of-the-art methods especially when the data are generated from heavy-tailed distributions. The proposed procedures are implemented in the R-package FarmTest.

Full work available at URL: https://arxiv.org/abs/1711.05386

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zbMATH Keywords

robustnessfalse discovery proportionlarge-scale multiple testingHuber lossfactor adjustment

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Paired and multiple comparisons; multiple testing (62J15)

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Cited In (21)

• High-dimensional two-sample mean vectors test and support recovery with factor adjustment
• Skilled Mutual Fund Selection: False Discovery Control Under Dependence
• Confounder adjustment in multiple hypothesis testing
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• Test for Market Timing Using Daily Fund Returns
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• FarmTest
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• Asymptotic false discovery control of the Benjamini-Hochberg procedure for pairwise comparisons
• Robust projected principal component analysis for large-dimensional semiparametric factor modeling
• Multiple two-sample testing under arbitrary covariance dependency with an application in imaging mass spectrometry
• Large-Scale Inference of Multivariate Regression for Heavy-Tailed and Asymmetric Data

Uses Software

• SAM
• FAMT

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