Weighted Hypothesis Testing
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
The power of multiple testing procedures can be increased by using weighted p-values (Genovese, Roeder and Wasserman 2005). We derive the optimal weights and we show that the power is remarkably robust to misspecification of these weights. We consider two methods for choosing weights in practice. The first, external weighting, is based on prior information. The second, estimated weighting, uses the data to choose weights.
Cite
@article{arxiv.math/0604172,
title = {Weighted Hypothesis Testing},
author = {Larry Wasserman and Kathryn Roeder},
journal= {arXiv preprint arXiv:math/0604172},
year = {2007}
}