Sequential selection procedures and false discovery rate control
Max Grazier G'Sell, Stefan Wager, Alexandra Chouldechova, Robert Tibshirani
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 2016 · Volume 78 · Issue 2
Abstract
We consider a multiple-hypothesis testing setting where the hypotheses are ordered and one is only permitted to reject an initial contiguous blockof hypotheses. A rejection rule in this setting amounts to a procedure for choosing the stopping pointk. This setting is inspired by the sequential nature of many model selection problems, where choosing a stopping point or a model is equivalent to rejecting all hypotheses up to that point and none thereafter. We propose two new testing procedures and prove that they control the false discovery rate in the ordered testing setting. We also show how the methods can be applied to model selection by using recent results onp-values in sequential model selection settings.
Keywords
False discovery rate, Multiple-hypothesis testing, Sequential testing, Stopping rule
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