FARM-Test: Factoradjusted robust multiple testing with false discovery control

Jianqing Fan Yuan Ke Qiang Sun Wen-Xin Zhou

Statistics Theory and Methods mathscidoc:1912.43400

arXiv preprint arXiv:1711.05386, 2017.11
Large-scale multiple testing with correlated and heavy-tailed data arises in a wide range of research areas from genomics, medical imaging to finance. Conventional methods for estimating the false discovery proportion (FDP) often ignore the effect of heavy-tailedness and the dependence structure among test statistics, and thus may lead to inefficient or even inconsistent estimation. Also, the assumption of joint normality is often imposed, which is too stringent for many applications. To address these challenges, in this paper we propose a factoradjusted robust procedure for large-scale simultaneous inference with control of the false discovery proportion. We demonstrate that robust factor adjustments are extremely important in both improving the power of the tests and controlling FDP. We identify general conditions under which the proposed method produces consistent estimate of the FDP. As a byproduct that is of independent interest, we establish an exponential-type deviation inequality for a robust U-type covariance estimator under the spectral norm. Extensive numerical experiments demonstrate the advantage of the proposed method over several state-of-the-art methods especially when the data are generated from heavy-tailed distributions. Our proposed procedures are implemented in the R-package FarmTest. Supported by NSF Grants DMS-1662139, DMS-1712591, and NIH Grant R01-GM072611-12.
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  title={FARM-Test: Factoradjusted robust multiple testing with false discovery control},
  author={Jianqing Fan, Yuan Ke, Qiang Sun, and Wen-Xin Zhou},
  booktitle={arXiv preprint arXiv:1711.05386},
Jianqing Fan, Yuan Ke, Qiang Sun, and Wen-Xin Zhou. FARM-Test: Factoradjusted robust multiple testing with false discovery control. 2017. In arXiv preprint arXiv:1711.05386.
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