On spike and slab empirical Bayes multiple testing
Statistics Theory
2019-06-18 v2 Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.1808.09748,
title = {On spike and slab empirical Bayes multiple testing},
author = {Ismael Castillo and Etienne Roquain},
journal= {arXiv preprint arXiv:1808.09748},
year = {2019}
}
Comments
83 pages, 7 figures