A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model
From MaRDI portal
Publication:6178583
Abstract: The Benjamini-Hochberg (BH) procedure remains widely popular despite having limited theoretical guarantees in the commonly encountered scenario of correlated test statistics. Of particular concern is the possibility that the method could exhibit bursty behavior, meaning that it might typically yield no false discoveries while occasionally yielding both a large number of false discoveries and a false discovery proportion (FDP) that far exceeds its own well controlled mean. In this paper, we investigate which test statistic correlation structures lead to bursty behavior and which ones lead to well controlled FDPs. To this end, we develop a central limit theorem for the FDP in a multiple testing setup where the test statistic correlations can be either short-range or long-range as well as either weak or strong. The theorem and our simulations from a data-driven factor model suggest that the BH procedure exhibits severe burstiness when the test statistics have many strong, long-range correlations, but does not otherwise.
Cites work
- scientific article; zbMATH DE number 720689 (Why is no real title available?)
- A central limit theorem for triangular arrays of weakly dependent random variables, with applications in statistics
- A factor model approach to multiple testing under dependence
- A stochastic process approach to false discovery control.
- An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
- Asymptotic FDR control under weak dependence: a counterexample
- Asymptotic Statistics
- Asymptotic properties of false discovery rate controlling procedures under independence
- Bi-cross-validation for factor analysis
- Conditional calibration for false discovery rate control under dependence
- Confounder adjustment in multiple hypothesis testing
- Control of generalized error rates in multiple testing
- Controlling the number of false discoveries: application to high-dimensional genomic data
- Correlation and Large-Scale Simultaneous Significance Testing
- Dependency and false discovery rate: asymptotics
- Detecting multiple replicating signals using adaptive filtering procedures
- Estimating false discovery proportion under arbitrary covariance dependence
- Farmtest: factor-adjusted robust multiple testing with approximate false discovery control
- Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH
- Mixing properties of ARMA processes
- More powerful control of the false discovery rate under dependence
- Multiple hypotheses testing and expected number of type I errors
- Multiple hypothesis testing adjusted for latent variables, with an application to the AGEMAP gene expression data
- Multiple testing via \(\mathrm{FDR}_L\) for large-scale imaging data
- New procedures controlling the false discovery proportion via Romano-Wolf's heuristic
- On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing
- On stepdown control of the false discovery proportion
- On the False Discovery Rate and Expected Type I Errors
- On the false discovery proportion convergence under Gaussian equi-correlation
- On the performance of FDR control: constraints and a partial solution
- Some Results on the Control of the False Discovery Rate under Dependence
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Statistical significance for genomewide studies
- Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
- Strong consistency and asymptotic normality for quantities related to the Benjamini-Hochberg false discovery rate procedure
- The control of the false discovery rate in multiple testing under dependency.
- The effect of correlation in false discovery rate estimation
- The empirical distribution of a large number of correlated normal variables
- Variance of the Number of False Discoveries
This page was built for publication: A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6178583)
