Online control of the familywise error rate
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Publication:6326973
arXiv1910.04900MaRDI QIDQ6326973
Author name not available (Why is that?)
Publication date: 10 October 2019
Abstract: Biological research often involves testing a growing number of null hypotheses as new data is accumulated over time. We study the problem of online control of the familywise error rate (FWER), that is testing an apriori unbounded sequence of hypotheses (p-values) one by one over time without knowing the future, such that with high probability there are no false discoveries in the entire sequence. This paper unifies algorithmic concepts developed for offline (single batch) FWER control and online false discovery rate control to develop novel online FWER control methods. Though many offline FWER methods (e.g. Bonferroni, fallback procedures and Sidak's method) can trivially be extended to the online setting, our main contribution is the design of new, powerful, adaptive online algorithms that control the FWER when the p-values are independent or locally dependent in time. Our experiments demonstrate substantial gains in power, that are also formally proved in a Gaussian sequence model. Multiple testing, FWER control, online setting.
Has companion code repository: https://github.com/dsrobertson/onlineFDR
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