Making the Cut: Improved Ranking and Selection for Large-Scale Inference

DOI10.1111/RSSB.12131zbMATH Open1414.62064arXiv1312.5776OpenAlexW2155049373WikidataQ37200981 ScholiaQ37200981MaRDI QIDQ5378369FDOQ5378369

Authors: Nicholas C. Henderson, Michael A. Newton 

Publication date: 12 June 2019

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

Abstract: Identifying leading measurement units from a large collection is a common inference task in various domains of large-scale inference. Testing approaches, which measure evidence against a null hypothesis rather than effect magnitude, tend to overpopulate lists of leading units with those associated with low measurement error. By contrast, local maximum likelihood (ML) approaches tend to favor units with high measurement error. Available Bayesian and empirical Bayesian approaches rely on specialized loss functions that result in similar deficiencies. We describe and evaluate a generic empirical Bayesian ranking procedure that populates the list of top units in a way that maximizes the expected overlap between the true and reported top lists for all list sizes. The procedure relates unit-specific posterior upper tail probabilities with their empirical distribution to yield a ranking variable. It discounts high-variance units less than popular non-ML methods and thus achieves improved operating characteristics in the models considered.

Full work available at URL: https://arxiv.org/abs/1312.5776

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zbMATH Keywords

empirical Bayes\(r\)-valueposterior expected rank

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Empirical decision procedures; empirical Bayes procedures (62C12)

Cited In (7)

• Sequentual first-crossing look-ahead procedure for selecting a population with the largest mean in normal-normal model
• Irrational Exuberance: Correcting Bias in Probability Estimates
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• Detecting strong signals in gene perturbation experiments: an adaptive approach with power guarantee and FDR control
• Bayesian inferences on uncertain ranks and orderings: application to ranking players and lineups
• Invidious comparisons: ranking and selection as compound decisions

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