A Scan Procedure for Multiple Testing

Shiyun Chen; Andrew Ying; Ery Arias-Castro

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arXiv · 1808.00631

A Scan Procedure for Multiple Testing

Shiyun Chen·Andrew Ying·Ery Arias-Castro

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Abstract

In a multiple testing framework, we propose a method that identifies the interval with the highest estimated false discovery rate of P-values and rejects the corresponding null hypotheses. Unlike the Benjamini-Hochberg method, which does the same but over intervals with an endpoint at the origin, the new procedure `scans' all intervals. In parallel with \citep*{storey2004strong}, we show that this scan procedure provides strong control of asymptotic false discovery rate. In addition, we investigate its asymptotic false non-discovery rate, deriving conditions under which it outperforms the Benjamini-Hochberg procedure. For example, the scan procedure is superior in power-law location models.

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Shiyun Chen, Andrew Ying, Ery Arias-Castro. 2018-08-02. A Scan Procedure for Multiple Testing. https://arxiv.org/abs/1808.00631

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