Sequential selection procedures and false discovery rate control

DOI10.1111/RSSB.12122zbMATH Open1414.62341arXiv1309.5352OpenAlexW1871418963MaRDI QIDQ5378361FDOQ5378361

Authors: Max Grazier G'sell, Stefan Wager, Alexandra Chouldechova, Robert Tibshirani 

Publication date: 12 June 2019

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

Abstract: We consider a multiple hypothesis testing setting where the hypotheses are ordered and one is only permitted to reject an initial contiguous block, H_1,dots,H_k, of hypotheses. A rejection rule in this setting amounts to a procedure for choosing the stopping point k. This setting is inspired by the sequential nature of many model selection problems, where choosing a stopping point or a model is equivalent to rejecting all hypotheses up to that point and none thereafter. We propose two new testing procedures, and prove that they control the false discovery rate in the ordered testing setting. We also show how the methods can be applied to model selection using recent results on p-values in sequential model selection settings.

Full work available at URL: https://arxiv.org/abs/1309.5352

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zbMATH Keywords

false discovery ratestopping rulesequential testingmultiple-hypothesis testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Sequential statistical design (62L05) Paired and multiple comparisons; multiple testing (62J15)

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