The Annals of Statistics

Family-Wise Separation Rates for multiple testing

Magalie Fromont, Matthieu Lerasle, and Patricia Reynaud-Bouret

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Abstract

Starting from a parallel between some minimax adaptive tests of a single null hypothesis, based on aggregation approaches, and some tests of multiple hypotheses, we propose a new second kind error-related evaluation criterion, as the core of an emergent minimax theory for multiple tests. Aggregation-based tests, proposed for instance by Baraud [Bernoulli 8 (2002) 577–606], Baraud, Huet and Laurent [Ann. Statist. 31 (2003) 225–251] or Fromont and Laurent [Ann. Statist. 34 (2006) 680–720], are justified through their first kind error rate, which is controlled by the prescribed level on the one hand, and through their separation rates over various classes of alternatives, rates which are minimax on the other hand. We show that some of these tests can be viewed as the first steps of classical step-down multiple testing procedures, and accordingly be evaluated from the multiple testing point of view also, through a control of their Family-Wise Error Rate (FWER). Conversely, many multiple testing procedures, from the historical ones of Bonferroni and Holm, to more recent ones like min-$p$ procedures or randomized procedures such as the ones proposed by Romano and Wolf [J. Amer. Statist. Assoc. 100 (2005) 94–108], can be investigated from the minimax adaptive testing point of view. To this end, we extend the notion of separation rate to the multiple testing field, by defining the weak Family-Wise Separation Rate and its stronger counterpart, the Family-Wise Separation Rate (FWSR). As for nonparametric tests of a single null hypothesis, we prove that these new concepts allow an accurate analysis of the second kind error of a multiple testing procedure, leading to clear definitions of minimax and minimax adaptive multiple tests. Some illustrations in classical Gaussian frameworks corroborate several expected results under particular conditions on the tested hypotheses, but also lead to new questions and perspectives.

Article information

Source
Ann. Statist., Volume 44, Number 6 (2016), 2533-2563.

Dates
Received: January 2015
Revised: November 2015
First available in Project Euclid: 23 November 2016

Permanent link to this document
https://projecteuclid.org/euclid.aos/1479891627

Digital Object Identifier
doi:10.1214/15-AOS1418

Mathematical Reviews number (MathSciNet)
MR3576553

Zentralblatt MATH identifier
1360.62214

Subjects
Primary: 62G10: Hypothesis testing 62H15: Hypothesis testing 62C20: Minimax procedures

Keywords
Multiple testing Family-Wise Error Rate step-down procedure separation rate minimax test adaptive test

Citation

Fromont, Magalie; Lerasle, Matthieu; Reynaud-Bouret, Patricia. Family-Wise Separation Rates for multiple testing. Ann. Statist. 44 (2016), no. 6, 2533--2563. doi:10.1214/15-AOS1418. https://projecteuclid.org/euclid.aos/1479891627


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Supplemental materials

  • Additional results and proofs for “Family-Wise Separation Rates for multiple testing”. This supplement contains additional results on the cumulative distribution functions and the proof of Lemma 1.