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Estimation of the false discovery proportion with unknown dependence

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  • Jianqing Fan
  • Xu Han

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  • Jianqing Fan & Xu Han, 2017. "Estimation of the false discovery proportion with unknown dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 1143-1164, September.
    • Handle: RePEc:bla:jorssb:v:79:y:2017:i:4:p:1143-1164
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    File URL: http://hdl.handle.net/10.1111/rssb.12204
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    References listed on IDEAS

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    1. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    2. Armin Schwartzman & Xihong Lin, 2011. "The effect of correlation in false discovery rate estimation," Biometrika, Biometrika Trust, vol. 98(1), pages 199-214.
    3. Seung C. Ahn & Alex R. Horenstein, 2013. "Eigenvalue Ratio Test for the Number of Factors," Econometrica, Econometric Society, vol. 81(3), pages 1203-1227, May.
    4. John D. Storey & Jonathan E. Taylor & David Siegmund, 2004. "Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 187-205, February.
    5. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    6. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
    7. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
    8. Keyur H. Desai & John D. Storey, 2012. "Cross-Dimensional Inference of Dependent High-Dimensional Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 135-151, March.
    9. Chamberlain, Gary & Rothschild, Michael, 1983. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, Econometric Society, vol. 51(5), pages 1281-1304, September.
    10. Schäfer Juliane & Strimmer Korbinian, 2005. "A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 4(1), pages 1-32, November.
    11. Cai, Tony & Liu, Weidong, 2011. "Adaptive Thresholding for Sparse Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 672-684.
    12. David Azriel & Armin Schwartzman, 2015. "The Empirical Distribution of a Large Number of Correlated Normal Variables," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1217-1228, September.
    13. Friguet, Chloé & Kloareg, Maela & Causeur, David, 2009. "A Factor Model Approach to Multiple Testing Under Dependence," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1406-1415.
    14. Wenguang Sun & T. Tony Cai, 2009. "Large‐scale multiple testing under dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 393-424, April.
    15. Lam, Clifford & Yao, Qiwei, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.
    16. John D. Storey, 2002. "A direct approach to false discovery rates," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 479-498, August.
    17. Efron, Bradley, 2010. "Correlated z-Values and the Accuracy of Large-Scale Statistical Estimates," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1042-1055.
    18. Cai, Tony & Liu, Weidong & Luo, Xi, 2011. "A Constrained â„“1 Minimization Approach to Sparse Precision Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 594-607.
    19. Efron, Bradley, 2007. "Correlation and Large-Scale Simultaneous Significance Testing," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 93-103, March.
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    Cited by:

    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. He, Yong & Zhang, Mingjuan & Zhang, Xinsheng & Zhou, Wang, 2020. "High-dimensional two-sample mean vectors test and support recovery with factor adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
    3. Sairam Rayaprolu & Zhiyi Chi, 2021. "False Discovery Variance Reduction in Large Scale Simultaneous Hypothesis Tests," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 711-733, September.
    4. Georgios Sermpinis & Arman Hassanniakalager & Charalampos Stasinakis & Ioannis Psaradellis, 2018. "Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices," Papers 1811.06766, arXiv.org, revised Jun 2019.
    5. Du, Lilun & Lan, Wei & Luo, Ronghua & Zhong, Pingshou, 2018. "Factor-adjusted multiple testing of correlations," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 34-47.
    6. Benjamin R. Auer, 2022. "On false discoveries of standard t-tests in investment management applications," Review of Managerial Science, Springer, vol. 16(3), pages 751-768, April.

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