Making the cut: improved ranking and selection for large-scale inference

Nicholas C. Henderson, Michael A. Newton

Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 2016 · Volume 78 · Issue 4

Abstract

Identifying leading measurement units from a large collection is a common inference task in various domains of large-scale inference. Testing approaches, which measure evidence against a null hypothesis rather than effect magnitude, tend to overpopulate lists of leading units with those associated with low measurement error. By contrast, local maximum likelihood approaches tend to favour units with high measurement error. Available Bayesian and empirical Bayesian approaches rely on specialized loss functions that result in similar deficiencies. We describe and evaluate a generic empirical Bayesian ranking procedure that populates the list of top units in a way that maximizes the expected overlap between the true and reported top lists for all list sizes. The procedure relates unit-specific posterior upper tail probabilities with their empirical distribution to yield a ranking variable. It discounts high variance units less than popular non-maximum-likelihood methods and thus achieves improved operating characteristics in the models considered.

Keywords

Empirical Bayes, Posterior expected rank, r-value

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