The Inuence of Misspecified Covariance on False Discovery Control when Using Posterior Probabilities

This paper focuses on the influence of a misspecified covariance structure on false discovery rate for the large scale multiple testing problem. Specifically, we evaluate the influence on the marginal distribution of local fdr statistics, which are used in many multiple testing procedures and related to Bayesian posterior probabilities. Explicit forms of the marginal distributions under both correctly specified and incorrectly specified models are derived. The Kullback-Leibler divergence is used to quantify the influence caused by a misspecification. Several numerical examples are provided to illustrate the influence. A real spatio-temporal data on soil humidity is discussed.Comment: 22 pages, 5 figure

Sensitivity Analysis using Approximate Moment Condition Models

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for inference in the locally misspecified GMM setting. These bounds may be of independent interest, due to their implications for the possibility of using moment selection procedures when conducting inference in moment condition models. We apply our methods in an empirical application to automobile demand, and show that adjusting the weighting matrix can shrink the CIs by a factor of 3 or more

An exact adaptive test with superior design sensitivity in an observational study of treatments for ovarian cancer

A sensitivity analysis in an observational study determines the magnitude of bias from nonrandom treatment assignment that would need to be present to alter the qualitative conclusions of a na\"{\i}ve analysis that presumes all biases were removed by matching or by other analytic adjustments. The power of a sensitivity analysis and the design sensitivity anticipate the outcome of a sensitivity analysis under an assumed model for the generation of the data. It is known that the power of a sensitivity analysis is affected by the choice of test statistic, and, in particular, that a statistic with good Pitman efficiency in a randomized experiment, such as Wilcoxon's signed rank statistic, may have low power in a sensitivity analysis and low design sensitivity when compared to other statistics. For instance, for an additive treatment effect and errors that are Normal or logistic or $t$-distributed with 3 degrees of freedom, Brown's combined quantile average test has Pitman efficiency close to that of Wilcoxon's test but has higher power in a sensitivity analysis, while a version of Noether's test has poor Pitman efficiency in a randomized experiment but much higher design sensitivity so it is vastly more powerful than Wilcoxon's statistic in a sensitivity analysis if the sample size is sufficiently large.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS508 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Sensitivity Analysis using Approximate Moment Condition Models

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for inference in the locally misspecified GMM setting. These bounds may be of independent interest, due to their implications for the possibility of using moment selection procedures when conducting inference in moment condition models. We apply our methods in an empirical application to automobile demand, and show that adjusting the weighting matrix can shrink the CIs by a factor of 3 or more