The Annals of Statistics

A unified treatment of multiple testing with prior knowledge using the p-filter

Aaditya K. Ramdas, Rina F. Barber, Martin J. Wainwright, and Michael I. Jordan

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Abstract

There is a significant literature on methods for incorporating knowledge into multiple testing procedures so as to improve their power and precision. Some common forms of prior knowledge include (a) beliefs about which hypotheses are null, modeled by nonuniform prior weights; (b) differing importances of hypotheses, modeled by differing penalties for false discoveries; (c) multiple arbitrary partitions of the hypotheses into (possibly overlapping) groups and (d) knowledge of independence, positive or arbitrary dependence between hypotheses or groups, suggesting the use of more aggressive or conservative procedures. We present a unified algorithmic framework called p-filter for global null testing and false discovery rate (FDR) control that allows the scientist to incorporate all four types of prior knowledge (a)–(d) simultaneously, recovering a variety of known algorithms as special cases.

Article information

Source
Ann. Statist., Volume 47, Number 5 (2019), 2790-2821.

Dates
Received: April 2017
Revised: September 2018
First available in Project Euclid: 3 August 2019

Permanent link to this document
https://projecteuclid.org/euclid.aos/1564797864

Digital Object Identifier
doi:10.1214/18-AOS1765

Mathematical Reviews number (MathSciNet)
MR3988773

Subjects
Primary: 62J15: Paired and multiple comparisons 60G10: Stationary processes
Secondary: 62F03: Hypothesis testing

Keywords
Multiple testing false discovery rate prior knowledge Simes Benjamini–Hochberg–Yekutieli adaptivity group FDR

Citation

Ramdas, Aaditya K.; Barber, Rina F.; Wainwright, Martin J.; Jordan, Michael I. A unified treatment of multiple testing with prior knowledge using the p-filter. Ann. Statist. 47 (2019), no. 5, 2790--2821. doi:10.1214/18-AOS1765. https://projecteuclid.org/euclid.aos/1564797864


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Supplemental materials

  • Supplement to “A unified treatment of multiple testing with prior knowledge using the p-filter”. Contains details on dotfractions, generalized Simes tests for the global null and the LOOP property.