FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control

DOI10.1080/01621459.2018.1527700zbMath1428.62345arXiv1711.05386WikidataQ100504105 ScholiaQ100504105MaRDI QIDQ5208092

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

Publication date: 15 January 2020

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

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

zbMATH Keywords

robustness; false discovery proportion; large-scale multiple testing; Huber loss; factor adjustment

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G35: Nonparametric robustness

62J15: Paired and multiple comparisons; multiple testing

Related Items

Unnamed Item, Noisy Matrix Completion: Understanding Statistical Guarantees for Convex Relaxation via Nonconvex Optimization, Model-Free Feature Screening and FDR Control With Knockoff Features, Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors, Large-Scale Inference of Multivariate Regression for Heavy-Tailed and Asymmetric Data, Skilled Mutual Fund Selection: False Discovery Control Under Dependence, A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model, Robust high-dimensional tuning free multiple testing, Posterior consistency of factor dimensionality in high-dimensional sparse factor models, FarmTest, High-dimensional two-sample mean vectors test and support recovery with factor adjustment, Robust factor number specification for large-dimensional elliptical factor model, Robust high-dimensional factor models with applications to statistical machine learning, Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications, Robust projected principal component analysis for large-dimensional semiparametric factor modeling

Uses Software

• SAM
• FAMT

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