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URN: urn:nbn:de:kobv:517-opus-56877
URL: http://opus.kobv.de/ubp/volltexte/2012/5687/

Blanchard, Gilles ; Delattre, Sylvain ; Roquain, Étienne

Testing over a continuum of null hypotheses

Dokument 1.pdf (2.595 KB) (SHA-1:e10e4bcd8067217423eaec33b0f2dd4bb93c3fcb)

Kurzfassung in Englisch

We introduce a theoretical framework for performing statistical hypothesis testing simultaneously over a fairly general, possibly uncountably infinite, set of null hypotheses. This extends the standard statistical setting for multiple hypotheses testing, which is restricted to a finite set. This work is motivated by numerous modern applications where the observed signal is modeled by a stochastic process over a continuum.
As a measure of type I error, we extend the concept of false discovery rate (FDR) to this setting. The FDR is defined as the average ratio of the measure of two random sets, so that its study presents some challenge and is of some intrinsic mathematical interest. Our main result shows how to use the p-value process to control the FDR at a nominal level, either under arbitrary dependence of p-values, or under the assumption that the finite dimensional distributions of the p-value process have positive correlations of a specific type (weak PRDS). Both cases generalize existing results established in the finite setting, the latter one leading to a less conservative procedure. The interest of this approach is demonstrated in several non-parametric examples: testing the mean/signal in a Gaussian white noise model, testing the intensity of a Poisson process and testing the c.d.f. of i.i.d. random variables. Conceptually, an interesting feature of the setting advocated here is that it focuses directly on the intrinsic hypothesis space associated with a testing model on a random process, without referring to an arbitrary discretization.

MSC - Klassifikation: 62M99 , 62G10
Collection: Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2012
Institut: Institut für Mathematik
DDC-Sachgruppe: Mathematik
Dokumentart: c Preprint (Vorabdruck)
Schriftenreihe: Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943
Bandnummer: 1 (2012) 1
Sprache: Englisch
Erstellungsjahr: 2012
Publikationsdatum: 06.01.2012
Bemerkung: RVK-Klassifikation: SI 990 , SK 830
Lizenz: Diese Nutzungsbedingung gilt nicht, wenn in den Metadaten eine modifizierende Lizenz genannt ist. Keine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht

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