Selective inference for false discovery proportion in a hidden Markov model

DOI10.1007/S11749-023-00886-7arXiv2105.00288MaRDI QIDQ6132200FDOQ6132200

Authors:

Publication date: 18 April 2024

Published in: Test (Search for Journal in Brave)

Abstract: We address the multiple testing problem under the assumption that the true/false hypotheses are driven by a Hidden Markov Model (HMM), which is recognized as a fundamental setting to model multiple testing under dependence since the seminal work of citet{sun2009large}. While previous work has concentrated on deriving specific procedures with a controlled False Discovery Rate (FDR) under this model, following a recent trend in selective inference, we consider the problem of establishing confidence bounds on the false discovery proportion (FDP), for a user-selected set of hypotheses that can depend on the observed data in an arbitrary way. We develop a methodology to construct such confidence bounds first when the HMM model is known, then when its parameters are unknown and estimated, including the data distribution under the null and the alternative, using a nonparametric approach. In the latter case, we propose a bootstrap-based methodology to take into account the effect of parameter estimation error. We show that taking advantage of the assumed HMM structure allows for a substantial improvement of confidence bound sharpness over existing agnostic (structure-free) methods, as witnessed both via numerical experiments and real data examples.

Full work available at URL: https://arxiv.org/abs/2105.00288

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zbMATH Keywords

bootstraphidden Markov modelfalse discovery proportionposterior distributionpost hoc bounds

Mathematics Subject Classification ID

Paired and multiple comparisons; multiple testing (62J15)

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