The Annals of Statistics

Balanced control of generalized error rates

Joseph P. Romano and Michael Wolf

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Abstract

Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized family-wise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and step-down procedures that control the k-FWER in finite samples or asymptotically, depending on the situation. Moreover, the procedures are asymptotically balanced in an appropriate sense. We briefly consider control of the average number of false rejections. Additionally, we consider the false discovery proportion (FDP), defined as the number of false rejections divided by the total number of rejections (and defined to be 0 if there are no rejections). Here, the goal is to construct methods which satisfy, for given γ and α, P{FDP>γ}≤α, at least asymptotically. Special attention is paid to the construction of methods which implicitly take into account the dependence structure of the individual test statistics in order to further increase the ability to detect false null hypotheses. A general resampling and subsampling approach is presented which achieves these objectives, at least asymptotically.

Article information

Source
Ann. Statist., Volume 38, Number 1 (2010), 598-633.

Dates
First available in Project Euclid: 31 December 2009

Permanent link to this document
https://projecteuclid.org/euclid.aos/1262271625

Digital Object Identifier
doi:10.1214/09-AOS734

Mathematical Reviews number (MathSciNet)
MR2590052

Zentralblatt MATH identifier
1181.62110

Subjects
Primary: 62J15: Paired and multiple comparisons
Secondary: 62G10: Hypothesis testing

Keywords
Bootstrap false discovery proportion generalized family-wise error rate multiple testing step-down procedure

Citation

Romano, Joseph P.; Wolf, Michael. Balanced control of generalized error rates. Ann. Statist. 38 (2010), no. 1, 598--633. doi:10.1214/09-AOS734. https://projecteuclid.org/euclid.aos/1262271625


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