On Estimating Many Means, Selection Bias, and the Bootstrap

Noah Simon; Richard Simon

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arXiv · 1311.3709

On Estimating Many Means, Selection Bias, and the Bootstrap

Noah Simon·Richard Simon

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Abstract

With recent advances in high throughput technology, researchers often find themselves running a large number of hypothesis tests (thousands+) and esti- mating a large number of effect-sizes. Generally there is particular interest in those effects estimated to be most extreme. Unfortunately naive estimates of these effect-sizes (even after potentially accounting for multiplicity in a testing procedure) can be severely biased. In this manuscript we explore this bias from a frequentist perspective: we give a formal definition, and show that an oracle estimator using this bias dominates the naive maximum likelihood estimate. We give a resampling estimator to approximate this oracle, and show that it works well on simulated data. We also connect this to ideas in empirical Bayes.

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Noah Simon, Richard Simon. 2013-11-15. On Estimating Many Means, Selection Bias, and the Bootstrap. https://arxiv.org/abs/1311.3709

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