Searcharxiv⌕ Search

arXiv · 0707.0536

Adaptive FDR control under independence and dependence

Abstract

In the context of multiple hypotheses testing, the proportion $π_0$ of true null hypotheses in the pool of hypotheses to test often plays a crucial role, although it is generally unknown a priori. A testing procedure using an implicit or explicit estimate of this quantity in order to improve its efficency is called adaptive. In this paper, we focus on the issue of False Discovery Rate (FDR) control and we present new adaptive multiple testing procedures with control of the FDR. First, in the context of assuming independent $p$-values, we present two new procedures and give a unified review of other existing adaptive procedures that have provably controlled FDR. We report extensive simulation results comparing these procedures and testing their robustness when the independence assumption is violated. The new proposed procedures appear competitive with existing ones. The overall best, though, is reported to be Storey's estimator, but for a parameter setting that does not appear to have been considered before. Second, we propose adaptive versions of step-up procedures that have provably controlled FDR under positive dependences and unspecified dependences of the $p$-values, respectively. While simulations only show an improvement over non-adaptive procedures in limited situations, these are to our knowledge among the first theoretically founded adaptive multiple testing procedures that control the FDR when the $p$-values are not independent.

Explore related subjects

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Gilles Blanchard, Etienne Roquain. 2009-02-17. Adaptive FDR control under independence and dependence. https://arxiv.org/abs/0707.0536

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

Second Maximum of a Gaussian Random Field and Exact (t-)Spacing test

In this article, we introduce the novel concept of the second maximum of a Gaussian random field defined on a Riemannian manifold: Once the field reaches its global maximum at a point $t_1$, the second maximum is the largest value of the field away from $t_1$, after the value and the gradient of the field at $t_1$ have been removed. This statistic serves as a powerful tool for characterizing the distribution of the global maximum. By employing an ad-hoc Kac-Rice formula, we derive the explicit distribution of the maximum, conditioned on the second maximum and the independent part of the Riemannian Hessian (the part of the Hessian at $t_1$ that is independent of the value and the gradient of the field at $t_1$). This approach yields an exact test based on the spacing between these maxima, which we refer to as the spacing test. We investigate the applicability of this test for detecting sparse alternatives in Gaussian symmetric tensors, continuous sparse deconvolution, and two-layered neural networks with smooth rectifiers. Theoretical results are supported by numerical experiments that illustrate the calibration and power of the proposed procedures. More generally, we provide a framework for applying the spacing test to continuous sparse regression for any Gaussian random field on a Riemannian manifold. Furthermore, when the variance-covariance function is known only up to a scaling factor, we derive an exact Studentized version of the procedure, coined the t-spacing test. We show that this test is perfectly calibrated under the null hypothesis and exhibits high power for detecting sparse alternatives. As a corollary, we derive an exact, non-asymptotic test for the spiked tensor model without requiring prior knowledge of the noise level.

math.ST↗

Robustness for free: asymptotic size and power of max-tests in high dimensions

Allowing for adversarial contamination and heavy tails, we study testing whether the mean of a high-dimensional random vector equals zero. Because standard max-tests based on sample averages are highly non-robust, we propose a max-test based on quantile-winsorized observations. The test controls asymptotic size under adversarial contamination and only requires $m>2$ moments, while allowing dimension to grow exponentially with sample size. We fully characterize its asymptotic power function. Comparing with the standard max-test, for which we also derive a power characterization as a benchmark, we show that robustness is obtained for free at first order: under the stronger conditions that make the standard max-test valid, our robust test has identical asymptotic power. We show that the decay condition on the contamination-rate imposed is necessary for this no-first-order-loss property. Finally, we also study the role of bootstrap critical values, showing that their use never decreases power, can strictly improve asymptotic power in extremely correlated designs, but often has no first-order asymptotic effect.

math.ST↗

A proximal gradient algorithm for composite log-concave sampling

We propose an algorithm to sample from composite log-concave distributions over $\mathbb{R}^d$, i.e., densities of the form $π\propto e^{-f-g}$, assuming access to gradient evaluations of $α_f$-convex $f$ and a restricted Gaussian oracle (RGO) for $α_g$-convex $g$, where $α_g \ge 0$. The latter requirement means that we can easily sample from the density $\text{RGO}_{g,h,y}(x) \propto \exp(-g(x) -\frac{1}{2h}||y-x||^2)$, which is the sampling analogue of the proximal operator for $g$. If $f + g$ is $α$-convex and $f$ is $β$-smooth, our sampler achieves $\varepsilon$ error in total variation distance using $\widetilde{\mathcal O}(κ\sqrt d \log^4(1/\varepsilon))$ oracle calls where $κ:= 1 \vee β/α$, with $0\le α_g \le β$ and $α:= α_f + α_g > 0$, which matches prior state-of-the-art results for the case $g=0$. We further extend our results to cases where (1) $π$ is non-log-concave but satisfies a Poincaré or log-Sobolev inequality, and (2) $f$ is non-smooth but Lipschitz.

math.ST↗