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Changepoint estimation: another look at multiple testing problems

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  • Hongyuan Cao
  • Wei Biao Wu

Abstract

We consider large scale multiple testing for data that have locally clustered signals. With this structure, we apply techniques from changepoint analysis and propose a boundary detection algorithm so that the clustering information can be utilized. Consequently the precision of the multiple testing procedure is substantially improved. We study tests with independent as well as dependent $p$-values. Monte Carlo simulations suggest that the methods perform well with realistic sample sizes and show improved detection ability compared with competing methods. Our procedure is applied to a genome-wide association dataset of blood lipids.

Suggested Citation

  • Hongyuan Cao & Wei Biao Wu, 2015. "Changepoint estimation: another look at multiple testing problems," Biometrika, Biometrika Trust, vol. 102(4), pages 974-980.
    • Handle: RePEc:oup:biomet:v:102:y:2015:i:4:p:974-980.
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    File URL: http://hdl.handle.net/10.1093/biomet/asv031
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    Cited by:

    1. Lijing Ma & Andrew J. Grant & Georgy Sofronov, 2020. "Multiple change point detection and validation in autoregressive time series data," Statistical Papers, Springer, vol. 61(4), pages 1507-1528, August.
    2. Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019. "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, vol. 211(2), pages 461-482.
    3. Zhao, Wenbiao & Zhu, Lixing, 2024. "Detecting change structures of nonparametric regressions," Computational Statistics & Data Analysis, Elsevier, vol. 190(C).
    4. Hajra Siddiqa & Sajid Ali & Ismail Shah, 2021. "Most recent changepoint detection in censored panel data," Computational Statistics, Springer, vol. 36(1), pages 515-540, March.
    5. Xu, Haotian & Wang, Daren & Zhao, Zifeng & Yu, Yi, 2022. "Change point inference in high-dimensional regression models under temporal dependence," LIDAM Discussion Papers ISBA 2022027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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