False discovery rate control with multivariate pp-values

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.Comment: Published in at http://dx.doi.org/10.1214/07-EJS147 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org

Uniform convergence of exact large deviations for renewal reward processes

Let (X_n,Y_n) be i.i.d. random vectors. Let W(x) be the partial sum of Y_n just before that of X_n exceeds x>0. Motivated by stochastic models for neural activity, uniform convergence of the form \sup_{c\in I}|a(c,x)\operatorname {Pr}\{W(x)\gecx\}-1|=o(1), $x\to\infty$, is established for probabilities of large deviations, with a(c,x) a deterministic function and I an open interval. To obtain this uniform exact large deviations principle (LDP), we first establish the exponentially fast uniform convergence of a family of renewal measures and then apply it to appropriately tilted distributions of X_n and the moment generating function of W(x). The uniform exact LDP is obtained for cases where X_n has a subcomponent with a smooth density and Y_n is not a linear transform of X_n. An extension is also made to the partial sum at the first exceedance time.Comment: Published at http://dx.doi.org/10.1214/105051607000000023 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org