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Simultaneous testing of multiple hypotheses using generalized p-values

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  • Tsui, Kam-Wah
  • Tang, Shijie

Abstract

In the context of simultaneously testing many hypotheses, Benjamini and Hochberg [1995. Controlling the false discovery rate: a practical and powerful approach to multiple testing. J. Roy. Statist. Soc. Ser. B (Methodological) 57, 289-300] propose a procedure that guarantees that the false discovery rate (FDR) will be less than or equal to a specified value. Here, the FDR is the expected value of the ratio of the number of incorrectly rejected hypotheses and the total number of rejected hypotheses. To our knowledge, all of the existing research assumes that a usual p-value is available for each hypothesis. However, in circumstances when nuisance parameters are present, the usual p-values may not be free of the nuisance parameters. We develop a simultaneous testing procedure to control the FDR for the problem of simultaneously testing many Behrens-Fisher problems. Our multiple testing procedure, based on generalized p-values [Tsui, K.-W., Weerahandi, S., 1989. Generalized p-values in significance testing of hypotheses in the presence of nuisance parameters. J. Amer. Statist. Assoc. 84(406), 602-607], is then illustrated with an application to data from a microarray experiment.

Suggested Citation

  • Tsui, Kam-Wah & Tang, Shijie, 2007. "Simultaneous testing of multiple hypotheses using generalized p-values," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1362-1370, July.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:12:p:1362-1370
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    References listed on IDEAS

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    1. Tang, Shijie & Tsui, Kam-Wah, 2007. "Distributional properties for the generalized p-value for the Behrens-Fisher problem," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 1-8, January.
    2. John D. Storey & Jonathan E. Taylor & David Siegmund, 2004. "Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 187-205, February.
    3. Genovese, Christopher R. & Wasserman, Larry, 2006. "Exceedance Control of the False Discovery Proportion," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1408-1417, December.
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