Capturing the severity of type II errors in high-dimensional multiple testing

DOI10.1016/J.JMVA.2015.08.005zbMATH Open1327.62432arXiv1403.5609OpenAlexW1126362492MaRDI QIDQ893171FDOQ893171

Authors: N. E. Zubov 

Publication date: 13 November 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: The severity of type II errors is frequently ignored when deriving a multiple testing procedure, even though utilizing it properly can greatly help in making correct decisions. This paper puts forward a theory behind developing a multiple testing procedure that can incorporate the type II error severity and is optimal in the sense of minimizing a measure of false non-discoveries among all procedures controlling a measure of false discoveries. The theory is developed under a general model allowing arbitrary dependence by taking a compound decision theoretic approach to multiple testing with a loss function incorporating the type II error severity. We present this optimal procedure in its oracle form and offer numerical evidence of its superior performance over relevant competitors.

Full work available at URL: https://arxiv.org/abs/1403.5609

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zbMATH Keywords

Bayes rulemultiple testingoracle procedurecompound decision theoryweighted marginal false discovery rateweighted marginal false non-discovery rate

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian problems; characterization of Bayes procedures (62C10) Paired and multiple comparisons; multiple testing (62J15)

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Cited In (8)

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• A multiple testing protocol for exploratory data analysis and the local misclassification rate
• An empirical Bayes testing procedure for detecting variants in analysis of next generation sequencing data
• A new approach to multiple testing of grouped hypotheses
• Local false discovery rate based methods for multiple testing of one-way classified hypotheses
• Weighted False Discovery Rate Control in Large-Scale Multiple Testing
• Constrained Bayesian Rules for Testing Statistical Hypotheses
• Bayesian hidden Markov models for dependent large-scale multiple testing

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