Estimation of the false discovery proportion with unknown dependence

DOI10.1111/RSSB.12204MaRDI QIDQ5364902zbMATH OpenOpenAlexWikidataFDO

Authors X. Han, Jianqing Fan

Publication date 29 September 2017

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.7007

zbMATH Keywords

false discovery proportionlarge-scale multiple testingapproximate factor modelunknown covariance matrixdependent test statistics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Paired and multiple comparisons; multiple testing (62J15)

Abstract: Large-scale multiple testing with highly correlated test statistics arises frequently in many scientific research. Incorporating correlation information in estimating false discovery proportion has attracted increasing attention in recent years. When the covariance matrix of test statistics is known, Fan, Han & Gu (2012) provided a consistent estimate of False Discovery Proportion (FDP) under arbitrary dependence structure. However, the covariance matrix is often unknown in many applications and such dependence information has to be estimated before estimating FDP (Efron, 2010). The estimation accuracy can greatly affect the convergence result of FDP or even violate its consistency. In the current paper, we provide methodological modification and theoretical investigations for estimation of FDP with unknown covariance. First we develop requirements for estimates of eigenvalues and eigenvectors such that we can obtain a consistent estimate of FDP. Secondly we give conditions on the dependence structures such that the estimate of FDP is consistent. Such dependence structures include sparse covariance matrices, which have been popularly considered in the contemporary random matrix theory. When data are sampled from an approximate factor model, which encompasses most practical situations, we provide a consistent estimate of FDP via exploiting this specific dependence structure. The results are further demonstrated by simulation studies and some real data applications.

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