## Testing over a continuum of null hypotheses

- 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,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.…

Author: | Gilles Blanchard, Sylvain Delattre, Étienne Roquain |
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URN: | urn:nbn:de:kobv:517-opus-56877 |

Series (Serial Number): | Preprints des Instituts für Mathematik der Universität Potsdam (1 (2012) 1) |

Document Type: | Preprint |

Language: | English |

Year of Completion: | 2012 |

Publishing Institution: | Universität Potsdam |

Release Date: | 2012/01/06 |

Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |

Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |

MSC Classification: | 62-XX STATISTICS / 62Gxx Nonparametric inference / 62G10 Hypothesis testing |

62-XX STATISTICS / 62Mxx Inference from stochastic processes / 62M99 None of the above, but in this section | |

Collections: | Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2012 |

Licence (German): | Keine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht |

Notes extern: | RVK-Klassifikation: SI 990 , SK 830 |