Optimal calibration for multiple testing against local inhomogeneity in higher dimension

DOI10.1007/S00440-010-0263-1zbMATH Open1223.62091arXiv0908.1498OpenAlexW2148505172MaRDI QIDQ639876FDOQ639876

Authors: Angelika Rohde 

Publication date: 11 October 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Based on two independent samples X_1,...,X_m and X_{m+1},...,X_n drawn from multivariate distributions with unknown Lebesgue densities p and q respectively, we propose an exact multiple test in order to identify simultaneously regions of significant deviations between p and q. The construction is built from randomized nearest-neighbor statistics. It does not require any preliminary information about the multivariate densities such as compact support, strict positivity or smoothness and shape properties. The properly adjusted multiple testing procedure is shown to be sharp-optimal for typical arrangements of the observation values which appear with probability close to one. The proof relies on a new coupling Bernstein type exponential inequality, reflecting the non-subgaussian tail behavior of a combinatorial process. For power investigation of the proposed method a reparametrized minimax set-up is introduced, reducing the composite hypothesis "p=q" to a simple one with the multivariate mixed density (m/n)p+(1-m/n)q as infinite dimensional nuisance parameter. Within this framework, the test is shown to be spatially and sharply asymptotically adaptive with respect to uniform loss on isotropic H"older classes. The exact minimax risk asymptotics are obtained in terms of solutions of the optimal recovery.

Full work available at URL: https://arxiv.org/abs/0908.1498

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zbMATH Keywords

couplingoptimal recoverycombinatorial processdecoupling inequalityexact multiple testexponential concentration boundnearest-neighborssharp asymptotic adaptivity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Paired and multiple comparisons; multiple testing (62J15)

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