论文标题

虚假发现比例的渐近不确定性

Asymptotic Uncertainty of False Discovery Proportion

论文作者

Mei, Meng, Yu, Tao, Jiang, Yuan

论文摘要

多次测试一直是统计研究中的一个流行主题。尽管已经完成了庞大的工作,但是当相应的测试统计数据取决于,控制错误的发现仍然是一项具有挑战性的任务。已经提出了各种方法来估计测试统计数据中任意依赖性的错误发现比例(FDP)。主要思想之一是将任意依赖性减少到弱依赖性,然后在理论上确定FDP和错误发现率(FDR)在弱依赖性下的强大一致性。因此,FDP在弱依赖性框架中具有相同的渐近极限。我们观察到,FDP的渐近方差即使在相应的测试统计数据仅弱依赖时也可能严重依赖于相应的测试统计量的依赖性结构。量化这种可变性是很大的实用价值,因为它可以作为从给定数据的FDP估计质量的指标。据我们所知,文献中有关这方面的研究仍然受到限制。在本文中,我们首先在轻度的规律性条件下得出FDP的渐近膨胀,然后研究FDP的渐近方差在理论上和数值上在不同的依赖性结构下如何变化。通过这项研究的观察结果,我们建议在FDP程序进行的多个测试中,我们可以报告FDP的平均值和方差估计,以丰富研究结果。

Multiple testing has been a popular topic in statistical research. Although vast works have been done, controlling the false discoveries remains a challenging task when the corresponding test statistics are dependent. Various methods have been proposed to estimate the false discovery proportion (FDP) under arbitrary dependence among the test statistics. One of the main ideas is to reduce arbitrary dependence to weak dependence and then to establish theoretically the strong consistency of the FDP and false discovery rate (FDR) under weak dependence. As a consequence, FDPs share the same asymptotic limit in the framework of weak dependence. We observe that the asymptotic variance of the FDP, however, may rely heavily on the dependence structure of the corresponding test statistics even when they are only weakly dependent; and it is of great practical value to quantify this variability, as it can serve as an indicator of the quality of the FDP estimate from the given data. As far as we are aware, the research on this respect is still limited in the literature. In this paper, we first derive the asymptotic expansion of FDP under mild regularity conditions and then examine how the asymptotic variance of FDP varies under different dependence structures both theoretically and numerically. With the observations in this study, we recommend that in a multiple testing performed by an FDP procedure, we may report both the mean and the variance estimates of FDP to enrich the study outcome.

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