Year: 2017
Type: preprint
Abstract: We study an online multiple testing problem where the hypotheses arrive sequentially in a stream. The test statistics are independent and assumed to have the same distribution under their respective null hypotheses. We investigate two procedures LORD and LOND, proposed by (Javanmard and Montanari, 2015), which are proved to control the FDR in an online manner. In some (static) model, we show that LORD is optimal in some asymptotic sense, in particular as powerful as the (static) Benjamini-Hochberg procedure to first asymptotic order. We also quantify the performance of LOND. Some numerical experiments complement our theory.
Source: arXiv (Cornell University)
Authors: Chen, Shiyun, Arias-Castro, Ery
Institution: University of California San Diego
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W2619811243