The Annals of Statistics
- Ann. Statist.
- Volume 34, Number 2 (2006), 584-653.
Adapting to unknown sparsity by controlling the false discovery rate
We attempt to recover an n-dimensional vector observed in white noise, where n is large and the vector is known to be sparse, but the degree of sparsity is unknown. We consider three different ways of defining sparsity of a vector: using the fraction of nonzero terms; imposing power-law decay bounds on the ordered entries; and controlling the ℓp norm for p small. We obtain a procedure which is asymptotically minimax for ℓr loss, simultaneously throughout a range of such sparsity classes.
The optimal procedure is a data-adaptive thresholding scheme, driven by control of the false discovery rate (FDR). FDR control is a relatively recent innovation in simultaneous testing, ensuring that at most a certain expected fraction of the rejected null hypotheses will correspond to false rejections.
In our treatment, the FDR control parameter qn also plays a determining role in asymptotic minimaxity. If q=lim qn∈[0,1/2] and also qn>γ/log(n), we get sharp asymptotic minimaxity, simultaneously, over a wide range of sparse parameter spaces and loss functions. On the other hand, q=lim qn∈(1/2,1] forces the risk to exceed the minimax risk by a factor growing with q.
To our knowledge, this relation between ideas in simultaneous inference and asymptotic decision theory is new.
Our work provides a new perspective on a class of model selection rules which has been introduced recently by several authors. These new rules impose complexity penalization of the form 2⋅log(potential model size/actual model sizes). We exhibit a close connection with FDR-controlling procedures under stringent control of the false discovery rate.
Ann. Statist. Volume 34, Number 2 (2006), 584-653.
First available in Project Euclid: 27 June 2006
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62C20: Minimax procedures
Secondary: 62G05: Estimation 62G32: Statistics of extreme values; tail inference
Abramovich, Felix; Benjamini, Yoav; Donoho, David L.; Johnstone, Iain M. Adapting to unknown sparsity by controlling the false discovery rate. Ann. Statist. 34 (2006), no. 2, 584--653. doi:10.1214/009053606000000074. http://projecteuclid.org/euclid.aos/1151418235.