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2008 False discovery rate control with multivariate p-values
Zhiyi Chi
Electron. J. Statist. 2: 368-411 (2008). DOI: 10.1214/07-EJS147


Multivariate statistics are often available as well as necessary in hypothesis tests. We study how to use such statistics to control not only false discovery rate (FDR) but also positive FDR (pFDR) with good power. We show that FDR can be controlled through nested regions of multivariate p-values of test statistics. If the distributions of the test statistics are known, then the regions can be constructed explicitly to achieve FDR control with maximum power among procedures satisfying certain conditions. On the other hand, our focus is where the distributions are only partially known. Under certain conditions, a type of nested regions are proposed and shown to attain (p)FDR control with asymptotically maximum power as the pFDR control level approaches its attainable limit. The procedure based on the nested regions is compared with those based on other nested regions that are easier to construct as well as those based on more straightforward combinations of the test statistics.


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Zhiyi Chi. "False discovery rate control with multivariate p-values." Electron. J. Statist. 2 368 - 411, 2008.


Published: 2008
First available in Project Euclid: 20 May 2008

zbMATH: 1320.62100
MathSciNet: MR2411440
Digital Object Identifier: 10.1214/07-EJS147

Primary: 62G10 , 62H15
Secondary: 62G20

Keywords: multiple hypothesis testing , pFDR

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society


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