The problem of multiple hypothesis testing arises when there are more than
one hypothesis to be tested simultaneously for statistical significance. This
is a very common situation in many data mining applications. For instance,
assessing simultaneously the significance of all frequent itemsets of a single
dataset entails a host of hypothesis, one for each itemset. A multiple
hypothesis testing method is needed to control the number of false positives
(Type I error). Our contribution in this paper is to extend the multiple
hypothesis framework to be used with a generic data mining algorithm. We
provide a method that provably controls the family-wise error rate (FWER, the
probability of at least one false positive) in the strong sense. We evaluate
the performance of our solution on both real and generated data. The results
show that our method controls the FWER while maintaining the power of the test.Comment: 28 page
