The Annals of Statistics
- Ann. Statist.
- Volume 38, Number 1 (2010), 100-145.
Optimal rates of convergence for estimating the null density and proportion of nonnull effects in large-scale multiple testing
An important estimation problem that is closely related to large-scale multiple testing is that of estimating the null density and the proportion of nonnull effects. A few estimators have been introduced in the literature; however, several important problems, including the evaluation of the minimax rate of convergence and the construction of rate-optimal estimators, remain open.
In this paper, we consider optimal estimation of the null density and the proportion of nonnull effects. Both minimax lower and upper bounds are derived. The lower bound is established by a two-point testing argument, where at the core is the novel construction of two least favorable marginal densities f1 and f2. The density f1 is heavy tailed both in the spatial and frequency domains and f2 is a perturbation of f1 such that the characteristic functions associated with f1 and f2 match each other in low frequencies. The minimax upper bound is obtained by constructing estimators which rely on the empirical characteristic function and Fourier analysis. The estimator is shown to be minimax rate optimal.
Compared to existing methods in the literature, the proposed procedure not only provides more precise estimates of the null density and the proportion of the nonnull effects, but also yields more accurate results when used inside some multiple testing procedures which aim at controlling the False Discovery Rate (FDR). The procedure is easy to implement and numerical results are given.
Ann. Statist., Volume 38, Number 1 (2010), 100-145.
First available in Project Euclid: 31 December 2009
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Zentralblatt MATH identifier
Characteristic function empirical characteristic function Fourier analysis minimax lower bound multiple testing null distribution proportion of nonnull effects rate of convergence two-point argument
Cai, T. Tony; Jin, Jiashun. Optimal rates of convergence for estimating the null density and proportion of nonnull effects in large-scale multiple testing. Ann. Statist. 38 (2010), no. 1, 100--145. doi:10.1214/09-AOS696. https://projecteuclid.org/euclid.aos/1262271611