Adaptive p-value weighting with power optimality

Abstract : Weighting the p-values is a well-established strategy that improves the power of multiple testing procedures while dealing with heterogeneous data. However, how to achieve this task in an optimal way is rarely considered in the literature. This paper contributes to fill the gap in the case of group-structured null hypotheses, by introducing a new class of procedures named ADDOW (for Adaptive Data Driven Optimal Weighting) that adapts both to the alternative distribution and to the proportion of true null hypotheses. We prove the asymptotical FDR control and power optimality among all weighted procedures of ADDOW, which shows that it dominates all existing procedures in that framework. Some numerical experiments show that the proposed method preserves its optimal properties in the finite sample setting when the number of tests is moderately large.
Type de document :
Pré-publication, Document de travail
2019
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https://hal.archives-ouvertes.fr/hal-01596474
Contributeur : Guillermo Durand <>
Soumis le : mardi 12 mars 2019 - 23:05:20
Dernière modification le : samedi 23 mars 2019 - 01:15:21

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Durand2018v2.pdf
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  • HAL Id : hal-01596474, version 2
  • ARXIV : 1710.01094

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Guillermo Durand. Adaptive p-value weighting with power optimality. 2019. 〈hal-01596474v2〉

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