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Sequential selection procedures and false discovery rate control

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2016-03, Vol.78 (2), p.423-444 [Peer Reviewed Journal]

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Title:
Sequential selection procedures and false discovery rate control
Author: G'Sell, Max Grazier ; Wager, Stefan ; Chouldechova, Alexandra ; Tibshirani, Robert
Subjects: equations ; False discovery rate ; Multiple-hypothesis testing ; Sequential testing ; Statistical analysis ; statistics ; Stopping rule ; Studies
Is Part Of: Journal of the Royal Statistical Society. Series B, Statistical methodology, 2016-03, Vol.78 (2), p.423-444
Description: We consider a multiple‐hypothesis testing setting where the hypotheses are ordered and one is only permitted to reject an initial contiguous block H1,…,Hk of hypotheses. A rejection rule in this setting amounts to a procedure for choosing the stopping point k. This setting is inspired by the sequential nature of many model selection problems, where choosing a stopping point or a model is equivalent to rejecting all hypotheses up to that point and none thereafter. We propose two new testing procedures and prove that they control the false discovery rate in the ordered testing setting. We also show how the methods can be applied to model selection by using recent results on p‐values in sequential model selection settings.
Publisher: Oxford: Royal Statistical Society
Language: English
Identifier: ISSN: 1369-7412
EISSN: 1467-9868
DOI: 10.1111/rssb.12122
Source: Alma/SFX Local Collection

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