Rate optimal multiple testing procedure in high-dimensional regression

Multiple testing and variable selection have gained much attention in statistical theory and methodology research. They are dealing with the same problem of identifying the important variables among many (Jin, 2012). However, there is little overlap in the literature. Research on variable selection has been focusing on selection consistency, i.e., both type I and type II errors converging to zero. This is only possible when the signals are sufficiently strong, contrary to many modern applications. For the regime where the signals are both rare and weak, it is inevitable that a certain amount of false discoveries will be allowed, as long as some error rate can be controlled. In this paper, motivated by the research by Ji and Jin (2012) and Jin (2012) in the rare/weak regime, we extend their UPS procedure for variable selection to multiple testing. Under certain conditions, the new UPT procedure achieves the fastest convergence rate of marginal false non-discovery rates, while controlling the marginal false discovery rate at any designated level $\alpha$ asymptotically. Numerical results are provided to demonstrate the advantage of the proposed method.Comment: 27 page

Local False Discovery Rate Based Methods for Multiple Testing of One-Way Classified Hypotheses

This paper continues the line of research initiated in \cite{Liu:Sarkar:Zhao:2016} on developing a novel framework for multiple testing of hypotheses grouped in a one-way classified form using hypothesis-specific local false discovery rates (Lfdr's). It is built on an extension of the standard two-class mixture model from single to multiple groups, defining hypothesis-specific Lfdr as a function of the conditional Lfdr for the hypothesis given that it is within a significant group and the Lfdr for the group itself and involving a new parameter that measures grouping effect. This definition captures the underlying group structure for the hypotheses belonging to a group more effectively than the standard two-class mixture model. Two new Lfdr based methods, possessing meaningful optimalities, are produced in their oracle forms. One, designed to control false discoveries across the entire collection of hypotheses, is proposed as a powerful alternative to simply pooling all the hypotheses into a single group and using commonly used Lfdr based method under the standard single-group two-class mixture model. The other is proposed as an Lfdr analog of the method of \cite{Benjamini:Bogomolov:2014} for selective inference. It controls Lfdr based measure of false discoveries associated with selecting groups concurrently with controlling the average of within-group false discovery proportions across the selected groups. Simulation studies and real-data application show that our proposed methods are often more powerful than their relevant competitors.Comment: 26 pages, 17 figure

BEAUTY Powered BEAST

We study inference about the uniform distribution with the proposed binary expansion approximation of uniformity (BEAUTY) approach. Through an extension of the celebrated Euler's formula, we approximate the characteristic function of any copula distribution with a linear combination of means of binary interactions from marginal binary expansions. This novel characterization enables a unification of many important existing tests through an approximation from some quadratic form of symmetry statistics, where the deterministic weight matrix characterizes the power properties of each test. To achieve a uniformly high power, we study test statistics with data-adaptive weights through an oracle approach, referred to as the binary expansion adaptive symmetry test (BEAST). By utilizing the properties of the binary expansion filtration, we show that the Neyman-Pearson test of uniformity can be approximated by an oracle weighted sum of symmetry statistics. The BEAST with this oracle leads all existing tests we considered in empirical power against all complex forms of alternatives. This oracle therefore sheds light on the potential of substantial improvements in power and on the form of optimal weights under each alternative. By approximating this oracle with data-adaptive weights, we develop the BEAST that improves the empirical power of many existing tests against a wide spectrum of common alternatives while providing clear interpretation of the form of non-uniformity upon rejection. We illustrate the BEAST with a study of the relationship between the location and brightness of stars