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Stepwise normal theory multiple test procedures controlling the false discovery rate

Identifieur interne : 001735 ( Istex/Corpus ); précédent : 001734; suivant : 001736

Stepwise normal theory multiple test procedures controlling the false discovery rate

Auteurs : James F. Troendle

Source :

RBID : ISTEX:7F8B833D2A8D553DBCE8C9C7C0617D52BE46FD75

Abstract

The false discovery rate (FDR), or the expected proportion of falsely rejected null hypotheses to rejected null hypotheses, has recently been proposed as an error rate that multiple testing procedures should in certain circumstances control. So far, only a step-up procedure for independent test statistics has been created explicitly to control the FDR (Benjamini and Hochberg, 1995). In this paper, step-down and step-up procedures are described which asymptotically (as N→∞) control the FDR when the test statistics are the t statistics from consistent multivariate normal estimators of the tested parameters. Determination of the necessary critical constants for the normal theory procedures is achieved using numerical integration when the correlations are equal, or through simulation using the multivariate t distribution when the correlations are arbitrary. The critical constants of the normal theory procedures are compared to those of the Benjamini and Hochberg procedure under the normal assumption, and a large potential power increase is found. Simulation strongly supports the use of critical constants, obtained by an asymptotic argument, in small samples for as many as 30 tests. Adjusted FDR values can be found to quantify the evidence against a given hypothesis.

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DOI: 10.1016/S0378-3758(99)00145-7

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ISTEX:7F8B833D2A8D553DBCE8C9C7C0617D52BE46FD75

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<note type="content">Fig. 1: Critical constants for NSD procedure with ρ=0 and v=20 (one-sided tests).</note>
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<abstract lang="en">The false discovery rate (FDR), or the expected proportion of falsely rejected null hypotheses to rejected null hypotheses, has recently been proposed as an error rate that multiple testing procedures should in certain circumstances control. So far, only a step-up procedure for independent test statistics has been created explicitly to control the FDR (Benjamini and Hochberg, 1995). In this paper, step-down and step-up procedures are described which asymptotically (as N→∞) control the FDR when the test statistics are the t statistics from consistent multivariate normal estimators of the tested parameters. Determination of the necessary critical constants for the normal theory procedures is achieved using numerical integration when the correlations are equal, or through simulation using the multivariate t distribution when the correlations are arbitrary. The critical constants of the normal theory procedures are compared to those of the Benjamini and Hochberg procedure under the normal assumption, and a large potential power increase is found. Simulation strongly supports the use of critical constants, obtained by an asymptotic argument, in small samples for as many as 30 tests. Adjusted FDR values can be found to quantify the evidence against a given hypothesis.</abstract>
<note type="content">Fig. 1: Critical constants for NSD procedure with ρ=0 and v=20 (one-sided tests).</note>
<note type="content">Table 1: Critical constants cj for the procedures (one-sided tests)a</note>
<note type="content">Table 2: Critical constants cj for the procedures (two-sided tests)a</note>
<note type="content">Table 3: Observed FDR when k=5 (one-sided tests)a</note>
<note type="content">Table 4: Average power of the procedures (one-sided tests)a</note>
<note type="content">Table 5: Observed FDR when k>5 (one-sided tests)a</note>
<note type="content">Table 6: Critical constants cj from simulation with equal correlation (one-sided tests)a</note>
<note type="content">Table 7: Adjusted FDR-values for example data (one-sided tests)a</note>
<subject>
<genre>MSC</genre>
<topic>62F03</topic>
</subject>
<subject>
<genre>Keywords</genre>
<topic>False discovery rate</topic>
<topic>Multiple testing</topic>
<topic>Step-down</topic>
<topic>Step-up</topic>
<topic>Power</topic>
</subject>
<relatedItem type="host">
<titleInfo>
<title>Journal of Statistical Planning and Inference</title>
</titleInfo>
<titleInfo type="abbreviated">
<title>JSPI</title>
</titleInfo>
<genre type="journal">journal</genre>
<originInfo>
<dateIssued encoding="w3cdtf">200003</dateIssued>
</originInfo>
<identifier type="ISSN">0378-3758</identifier>
<identifier type="PII">S0378-3758(00)X0084-5</identifier>
<part>
<date>200003</date>
<detail type="volume">
<number>84</number>
<caption>vol.</caption>
</detail>
<detail type="issue">
<number>1–2</number>
<caption>no.</caption>
</detail>
<extent unit="issue pages">
<start>1</start>
<end>354</end>
</extent>
<extent unit="pages">
<start>139</start>
<end>158</end>
</extent>
</part>
</relatedItem>
<identifier type="istex">7F8B833D2A8D553DBCE8C9C7C0617D52BE46FD75</identifier>
<identifier type="DOI">10.1016/S0378-3758(99)00145-7</identifier>
<identifier type="PII">S0378-3758(99)00145-7</identifier>
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<recordContentSource>ELSEVIER</recordContentSource>
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<serie></serie>
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