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arxiv: 1808.09748 · v2 · pith:IPW7YQ3Pnew · submitted 2018-08-29 · 🧮 math.ST · stat.TH

On spike and slab empirical Bayes multiple testing

Ismael Castillo , Etienne Roquain This is my paper
classification 🧮 math.ST stat.TH
keywords empiricalbayescontroldistributionsmultipleposteriorslabspike
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This paper explores a connection between empirical Bayes posterior distributions and false discovery rate (FDR) control. In the Gaussian sequence model, this work shows that empirical Bayes-calibrated spike and slab posterior distributions allow a correct FDR control under sparsity. Doing so, it offers a frequentist theoretical validation of empirical Bayes methods in the context of multiple testing. Our theoretical results are illustrated with numerical experiments.

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    math.ST 2019-07 unverdicted novelty 6.0

    Introduces NSBM and a VEM-plus-FDR procedure that controls false discovery rate for graph inference with optimal true discovery rate up to small remainder terms as graph size grows.