Modern scientific technology has provided a new class of large-scale simultaneous inference problems, with thousands of hypothesis tests to consider at the same time. Microarrays epitomize this type of technology, but similar situations arise in proteomics, spectroscopy, imaging, and social science surveys. This paper uses false discovery rate methods to carry out both size and power calculations on large-scale problems. A simple empirical Bayes approach allows the false discovery rate (fdr) analysis to proceed with a minimum of frequentist or Bayesian modeling assumptions. Closed-form accuracy formulas are derived for estimated false discovery rates, and used to compare different methodologies: local or tail-area fdr's, theoretical, permutation, or empirical null hypothesis estimates. Two microarray data sets as well as simulations are used to evaluate the methodology, the power diagnostics showing why nonnull cases might easily fail to appear on a list of ``significant'' discoveries.
How to weigh the Benjamini-Hochberg procedure? In the context of multiple hypothesis testing, we propose a new step-wise procedure that controls the false discovery rate (FDR) and we prove it to be more powerful than any weighted Benjamini-Hochberg procedure. Both finite-sample and asymptotic results are presented. Moreover, we illustrate good performance of our procedure in simulations and a genomics application. This work is particularly useful in the case of heterogeneous $p$-value distributions.
The false discovery rate (FDR) and false nondiscovery rate (FNDR) have received considerable attention in the literature on multiple testing. These performance measures are also appropriate for classification, and in this work we develop generalization error analyses for FDR and FNDR when learning a classifier from labeled training data. Unlike more conventional classification performance measures, the empirical FDR and FNDR are not binomial random variables but rather a ratio of binomials, which introduces challenges not addressed in conventional analyses. We develop distribution-free uniform…
Results on the false discovery rate (FDR) and the false nondiscovery rate (FNR) are developed for single-step multiple testing procedures. In addition to verifying desirable properties of FDR and FNR as measures of error rates, these results extend previously known results, providing further insights, particularly under dependence, into the notions of FDR and FNR and related measures. First, considering fixed configurations of true and false null hypotheses, inequalities are obtained to explain how an FDR- or FNR-controlling single-step procedure, such as a Bonferroni or uSidák procedure, can …
We consider the class of all multiple testing methods controlling tail probabilities of the false discovery proportion, either for one random set or simultaneously for many such sets. This class encompasses methods controlling familywise error rate, generalized familywise error rate, false discovery exceedance, joint error rate, simultaneous control of all false discovery proportions, and others, as well as seemingly unrelated methods such as gene set testing in genomics and cluster inference methods in neuroimaging. We show that all such methods are either equivalent to a closed testing metho…
In a context of multiple hypothesis testing, we provide several new exact calculations related to the false discovery proportion (FDP) of step-up and step-down procedures. For step-up procedures, we show that the number of erroneous rejections conditionally on the rejection number is simply a binomial variable, which leads to explicit computations of the c.d.f., the {$s$-th} moment and the mean of the FDP, the latter corresponding to the false discovery rate (FDR). For step-down procedures, we derive what is to our knowledge the first explicit formula for the FDR valid for any alternative c.d.…
We investigate the performance of a family of multiple comparison procedures for strong control of the False Discovery Rate ($\mathsf{FDR}$). The $\mathsf{FDR}$ is the expected False Discovery Proportion ($\mathsf{FDP}$), that is, the expected fraction of false rejections among all rejected hypotheses. A number of refinements to the original Benjamini-Hochberg procedure [1] have been proposed, to increase power by estimating the proportion of true null hypotheses, either implicitly, leading to one-stage adaptive procedures [4, 7] or explicitly, leading to two-stage adaptive (or plug-in) proced…
Multiple testing has been a popular topic in statistical research. Although vast works have been done, controlling the false discoveries remains a challenging task when the corresponding test statistics are dependent. Various methods have been proposed to estimate the false discovery proportion (FDP) under arbitrary dependence among the test statistics. One of the main ideas is to reduce arbitrary dependence to weak dependence and then to establish theoretically the strong consistency of the FDP and false discovery rate (FDR) under weak dependence. As a consequence, FDPs share the same asympto…
The concept of $k$-FWER has received much attention lately as an appropriate error rate for multiple testing when one seeks to control at least $k$ false rejections, for some fixed $k\ge 1$. A less conservative notion, the $k$-FDR, has been introduced very recently by Sarkar [Ann. Statist. 34 (2006) 394--415], generalizing the false discovery rate of Benjamini and Hochberg [J. Roy. Statist. Soc. Ser. B 57 (1995) 289--300]. In this article, we bring newer insight to the $k$-FDR considering a mixture model involving independent $p$-values before motivating the developments of some new procedures…
While traditional multiple testing procedures prohibit adaptive analysis choices made by users, Goeman and Solari (2011) proposed a simultaneous inference framework that allows users such flexibility while preserving high-probability bounds on the false discovery proportion (FDP) of the chosen set. In this paper, we propose a new class of such simultaneous FDP bounds, tailored for nested sequences of rejection sets. While most existing simultaneous FDP bounds are based on closed testing using global null tests based on sorted p-values, we additionally consider the setting where side informatio…
Multiple testing is a fundamental problem in high-dimensional statistical inference. Although many methods have been proposed to control false discoveries, it is still a challenging task when the tests are correlated to each other. To overcome this challenge, various methods have been proposed to estimate the false discovery rate (FDR) and/or the false discovery proportion (FDP) under arbitrary covariance among the test statistics. An interesting finding of these works is that the estimation of FDP and FDR under weak dependence is identical to that under independence. However, Mei et al. (2021…
Multivariate statistics are often available as well as necessary in hypothesis tests. We study how to use such statistics to control not only false discovery rate (FDR) but also positive FDR (pFDR) with good power. We show that FDR can be controlled through nested regions of multivariate $p$-values of test statistics. If the distributions of the test statistics are known, then the regions can be constructed explicitly to achieve FDR control with maximum power among procedures satisfying certain conditions. On the other hand, our focus is where the distributions are only partially known. Under …
The highly influential two-group model in testing a large number of statistical hypotheses assumes that the test statistics are drawn independently from a mixture of a high probability null distribution and a low probability alternative. Optimal control of the marginal false discovery rate (mFDR), in the sense that it provides maximal power (expected true discoveries) subject to mFDR control, is known to be achieved by thresholding the local false discovery rate (locFDR), i.e., the probability of the hypothesis being null given the set of test statistics, with a fixed threshold. We address the…
We propose a new method, semi-penalized inference with direct false discovery rate control (SPIDR), for variable selection and confidence interval construction in high-dimensional linear regression. SPIDR first uses a semi-penalized approach to constructing estimators of the regression coefficients. We show that the SPIDR estimator is ideal in the sense that it equals an ideal least squares estimator with high probability under a sparsity and other suitable conditions. Consequently, the SPIDR estimator is asymptotically normal. Based on this distributional result, SPIDR determines the selectio…
We introduce a new class of methods for finite-sample false discovery rate (FDR) control in multiple testing problems with dependent test statistics where the dependence is fully or partially known. Our approach separately calibrates a data-dependent p-value rejection threshold for each hypothesis, relaxing or tightening the threshold as appropriate to target exact FDR control. In addition to our general framework we propose a concrete algorithm, the dependence-adjusted Benjamini-Hochberg (dBH) procedure, which adaptively thresholds the q-value for each hypothesis. Under positive regression de…
We consider a multiple hypothesis testing setting where the hypotheses are ordered and one is only permitted to reject an initial contiguous block, H_1,\dots,H_k, of hypotheses. A rejection rule in this setting amounts to a procedure for choosing the stopping point k. This setting is inspired by the sequential nature of many model selection problems, where choosing a stopping point or a model is equivalent to rejecting all hypotheses up to that point and none thereafter. We propose two new testing procedures, and prove that they control the false discovery rate in the ordered testing setting. …
The traditional approaches to false discovery rate (FDR) control in multiple hypothesis testing are usually based on the null distribution of a test statistic. However, all types of null distributions, including the theoretical, permutation-based and empirical ones, have some inherent drawbacks. For example, the theoretical null might fail because of improper assumptions on the sample distribution. Here, we propose a null distribution-free approach to FDR control for multiple hypothesis testing. This approach, named target-decoy procedure, simply builds on the ordering of tests by some statist…
We develop a new class of distribution--free multiple testing rules for false discovery rate (FDR) control under general dependence. A key element in our proposal is a symmetrized data aggregation (SDA) approach to incorporating the dependence structure via sample splitting, data screening and information pooling. The proposed SDA filter first constructs a sequence of ranking statistics that fulfill global symmetry properties, and then chooses a data--driven threshold along the ranking to control the FDR. The SDA filter substantially outperforms the knockoff method in power under moderate to s…
Multiple hypothesis testing is a fundamental problem in high dimensional inference, with wide applications in many scientific fields. In genome-wide association studies, tens of thousands of tests are performed simultaneously to find if any SNPs are associated with some traits and those tests are correlated. When test statistics are correlated, false discovery control becomes very challenging under arbitrary dependence. In the current paper, we propose a novel method based on principal factor approximation, which successfully subtracts the common dependence and weakens significantly the correl…
University of Southern California（南加州大学）；Stanford University（斯坦福大学）
Multiple hypothesis testing is a core problem in statistical inference and arises in almost every scientific field. Given a set of null hypotheses $\mathcal{H}(n) = (H_1,\dotsc, H_n)$, Benjamini and Hochberg introduced the false discovery rate (FDR), which is the expected proportion of false positives among rejected null hypotheses, and proposed a testing procedure that controls FDR below a pre-assigned significance level. Nowadays FDR is the criterion of choice for large scale multiple hypothesis testing. In this paper we consider the problem of controlling FDR in an "online manner". Concrete…
This paper proposes a procedure to obtain monotone estimates of both the local and the tail false discovery rates that arise in large-scale multiple testing. The proposed monotonization is asymptotically optimal for controlling the false discovery rate and also has many attractive finite-sample properties.
In this paper, a noisy version of the stochastic block model (NSBM) is introduced and we investigate the three following statistical inferences in this model: estimation of the model parameters, clustering of the nodes and identification of the underlying graph. While the two first inferences are done by using a variational expectation-maximization (VEM) algorithm, the graph inference is done by controlling the false discovery rate (FDR), that is, the average proportion of errors among the edges declared significant, and by maximizing the true discovery rate (TDR), that is, the average proport…
Georgia Institute of Technology（佐治亚理工学院）；University of Waterloo（滑铁卢大学）
In hypothesis testing, a false discovery occurs when a hypothesis is incorrectly rejected due to noise in the sample. When adaptively testing multiple hypotheses, the probability of a false discovery increases as more tests are performed. Thus the problem of False Discovery Rate (FDR) control is to find a procedure for testing multiple hypotheses that accounts for this effect in determining the set of hypotheses to reject. The goal is to minimize the number (or fraction) of false discoveries, while maintaining a high true positive rate (i.e., correct discoveries). In this work, we study False …
In the multiple testing problem with independent tests, the classical linear step-up procedure controls the false discovery rate (FDR) at level $π_0α$, where $π_0$ is the proportion of true null hypotheses and $α$ is the target FDR level. Adaptive procedures can improve power by incorporating estimates of $π_0$, which typically rely on a tuning parameter. Fixed adaptive procedures set their tuning parameters before seeing the data and can be shown to control the FDR in finite samples. We develop theoretical results for dynamic adaptive procedures whose tuning parameters are determined by the d…
This paper is concerned with false discovery rate (FDR) control in large-scale multiple testing problems. We first propose a new data-driven testing procedure for controlling the FDR in large-scale t-tests for one-sample mean problem. The proposed procedure achieves exact FDR control in finite sample settings when the populations are symmetric no matter the number of tests or sample sizes. Comparing with the existing bootstrap method for FDR control, the proposed procedure is computationally efficient. We show that the proposed method can control the FDR asymptotically for asymmetric populatio…
The positive false discovery rate (pFDR) is a useful overall measure of errors for multiple hypothesis testing, especially when the underlying goal is to attain one or more discoveries. Control of pFDR critically depends on how much evidence is available from data to distinguish between false and true nulls. Oftentimes, as many aspects of the data distributions are unknown, one may not be able to obtain strong enough evidence from the data for pFDR control. This raises the question as to how much data are needed to attain a target pFDR level. We study the asymptotics of the minimum number of o…
Multiple comparison procedures that control a family-wise error rate or false discovery rate provide an achieved error rate as the adjusted p-value for each hypothesis tested. However, since such p-values are not probabilities that the null hypotheses are true, empirical Bayes methods have been devised to estimate such posterior probabilities, called local false discovery rates (LFDRs) to emphasize the frequency interpretation of their priors. The main approaches to LFDR estimation, relying either on numerical algorithms to maximize likelihood or on the selection of smoothing parameters for no…
New York University（纽约大学）；Nomura Asset Management Co.（野村资产管理公司）；Temple University（天普大学）
We consider controlling the false discovery rate for testing many time series with an unknown cross-sectional correlation structure. Given a large number of hypotheses, false and missing discoveries can plague an analysis. While many procedures have been proposed to control false discovery, most of them either assume independent hypotheses or lack statistical power. A problem of particular interest is in financial asset pricing, where the goal is to determine which ``factors" lead to excess returns out of a large number of potential factors. Our contribution is two-fold. First, we show the con…
We propose a semiparametric mixture model to estimate local false discovery rates in multiple testing problems. The two pilars of the proposed approach are Efron's empirical null principle and log-concave density estimation for the alternative distribution. Compared to existing methods, our method can be easily extended to high dimension. Simulation results show that our method outperforms other existing methods and we illustrate its use via case studies in astronomy and microarray.
We provide the first differentially private algorithms for controlling the false discovery rate (FDR) in multiple hypothesis testing, with essentially no loss in power under certain conditions. Our general approach is to adapt a well-known variant of the Benjamini-Hochberg procedure (BHq), making each step differentially private. This destroys the classical proof of FDR control. To prove FDR control of our method, (a) we develop a new proof of the original (non-private) BHq algorithm and its robust variants -- a proof requiring only the assumption that the true null test statistics are indepen…
This paper studies the estimation of high dimensional Gaussian graphical model (GGM). Typically, the existing methods depend on regularization techniques. As a result, it is necessary to choose the regularized parameter. However, the precise relationship between the regularized parameter and the number of false edges in GGM estimation is unclear. Hence, it is impossible to evaluate their performance rigorously. In this paper, we propose an alternative method by a multiple testing procedure. Based on our new test statistics for conditional dependence, we propose a simultaneous testing procedure…
The False Discovery Rate (FDR) is a commonly used type I error rate in multiple testing problems. It is defined as the expected False Discovery Proportion (FDP), that is, the expected fraction of false positives among rejected hypotheses. When the hypotheses are independent, the Benjamini-Hochberg procedure achieves FDR control at any pre-specified level. By construction, FDR control offers no guarantee in terms of power, or type II error. A number of alternative procedures have been developed, including plug-in procedures that aim at gaining power by incorporating an estimate of the proportio…
We propose an adaptive sampling approach for multiple testing which aims to maximize statistical power while ensuring anytime false discovery control. We consider $n$ distributions whose means are partitioned by whether they are below or equal to a baseline (nulls), versus above the baseline (actual positives). In addition, each distribution can be sequentially and repeatedly sampled. Inspired by the multi-armed bandit literature, we provide an algorithm that takes as few samples as possible to exceed a target true positive proportion (i.e. proportion of actual positives discovered) while givi…
Benjamini and Hochberg (1995) proposed the false discovery rate (FDR) as an alternative to the family-wise error rate in multiple testing problems, and proposed a procedure to control the FDR. For discrete data this procedure may be highly conservative. We investigate alternative, more powerful, procedures that exploit the discreteness of the tests and have FDR levels closer in magnitude to the desired nominal level. Moreover, we develop a novel step-down procedure that dominates the step-down procedure of Benjamini and Liu (1999) for discrete data. We consider an application to pharmacovigila…
Multiple hypotheses testing is a core problem in statistical inference and arises in almost every scientific field. Given a sequence of null hypotheses $\mathcal{H}(n) = (H_1,..., H_n)$, Benjamini and Hochberg \cite{benjamini1995controlling} introduced the false discovery rate (FDR) criterion, which is the expected proportion of false positives among rejected null hypotheses, and proposed a testing procedure that controls FDR below a pre-assigned significance level. They also proposed a different criterion, called mFDR, which does not control a property of the realized set of tests; rather it …
Multiple hypothesis testing is a fundamental problem in high dimensional inference, with wide applications in many scientific fields. In genome-wide association studies, tens of thousands of tests are performed simultaneously to find if any genes are associated with some traits and those tests are correlated. When test statistics are correlated, false discovery control becomes very challenging under arbitrary dependence. In the current paper, we propose a new methodology based on principal factor approximation, which successfully substracts the common dependence and weakens significantly the c…
False discovery rates (FDR) are an essential component of statistical inference, representing the propensity for an observed result to be mistaken. FDR estimates should accompany observed results to help the user contextualize the relevance and potential impact of findings. This paper introduces a new user-friendly R package for computing FDRs and adjusting p-values for FDR control. These tools respect the critical difference between the adjusted p-value and the estimated FDR for a particular finding, which are sometimes numerically identical but are often confused in practice. Newly augmented…
The use of weights provides an effective strategy to incorporate prior domain knowledge in large-scale inference. This paper studies weighted multiple testing in a decision-theoretic framework. We develop oracle and data-driven procedures that aim to maximize the expected number of true positives subject to a constraint on the weighted false discovery rate. The asymptotic validity and optimality of the proposed methods are established. The results demonstrate that incorporating informative domain knowledge enhances the interpretability of results and precision of inference. Simulation studies …
Closed testing procedures are classically used for familywise error rate (FWER) control, but they can also be used to obtain simultaneous confidence bounds for the false discovery proportion (FDP) in all subsets of the hypotheses. In this paper we investigate the special case of closed testing with Simes local tests. We construct a novel fast and exact shortcut which we use to investigate the power of this method when the number of hypotheses goes to infinity. We show that, if a minimal amount of signal is present, the average power to detect false hypotheses at any desired FDP level does not …
Many approaches for multiple testing begin with the assumption that all tests in a given study should be combined into a global false-discovery-rate analysis. But this may be inappropriate for many of today's large-scale screening problems, where auxiliary information about each test is often available, and where a combined analysis can lead to poorly calibrated error rates within different subsets of the experiment. To address this issue, we introduce an approach called false-discovery-rate regression that directly uses this auxiliary information to inform the outcome of each test. The method…
We present false discovery rate smoothing, an empirical-Bayes method for exploiting spatial structure in large multiple-testing problems. FDR smoothing automatically finds spatially localized regions of significant test statistics. It then relaxes the threshold of statistical significance within these regions, and tightens it elsewhere, in a manner that controls the overall false-discovery rate at a given level. This results in increased power and cleaner spatial separation of signals from noise. The approach requires solving a non-standard high-dimensional optimization problem, for which an e…
Online testing procedures aim to control the extent of false discoveries over a sequence of hypothesis tests, allowing for the possibility that early-stage test results influence the choice of hypotheses to be tested in later stages. Typically, online methods assume that a permanent decision regarding the current test (reject or not reject) must be made before advancing to the next test. We instead assume that each hypothesis requires an immediate preliminary decision, but also allows us to update that decision until a preset deadline. Roughly speaking, this lets us apply a Benjamini-Hochberg-…
Large-scale multiple testing is a fundamental problem in high dimensional statistical inference. It is increasingly common that various types of auxiliary information, reflecting the structural relationship among the hypotheses, are available. Exploiting such auxiliary information can boost statistical power. To this end, we propose a framework based on a two-group mixture model with varying probabilities of being null for different hypotheses a priori, where a shape-constrained relationship is imposed between the auxiliary information and the prior probabilities of being null. An optimal reje…
The popularity of penalized regression in high-dimensional data analysis has led to a demand for new inferential tools for these models. False discovery rate control is widely used in high-dimensional hypothesis testing, but has only recently been considered in the context of penalized regression. Almost all of this work, however, has focused on lasso-penalized linear regression. In this paper, we derive a general method for controlling the marginal false discovery rate that can be applied to any penalized likelihood-based model, such as logistic regression and Cox regression. Our approach is …
Efforts to develop more efficient multiple hypothesis testing procedures for false discovery rate (FDR) control have focused on incorporating an estimate of the proportion of true null hypotheses (such procedures are called adaptive) or exploiting heterogeneity across tests via some optimal weighting scheme. This paper combines these approaches using a weighted adaptive multiple decision function (WAMDF) framework. Optimal weights for a flexible random effects model are derived and a WAMDF that controls the FDR for arbitrary weighting schemes when test statistics are independent under the null…
False discovery rate (FDR) has been widely used as an error measure in large scale multiple testing problems, but most research in the area has been focused on procedures for controlling the FDR based on independent test statistics or the properties of such procedures for test statistics with certain types of stochastic dependence. Based on an approach proposed in Tang and Zhang (2005), we further develop in this paper empirical Bayes methods for controlling the FDR with dependent data. We implement our methodology in a time series model and report the results of a simulation study to demonstr…
