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On the power of some sequential multiple testing procedures

Author

Listed:
  • Shiyun Chen

    (Amazon)

  • Ery Arias-Castro

    (University of California)

Abstract

We study an online multiple testing problem where the hypotheses arrive sequentially in a stream. The test statistics are independent and assumed to have the same distribution under their respective null hypotheses. We investigate two recently proposed procedures LORD and LOND, which are proved to control the FDR in an online manner. In some (static) model, we show that LORD is optimal in some asymptotic sense, in particular as powerful as the (static) Benjamini–Hochberg procedure to first asymptotic order. We also quantify the performance of LOND. Some numerical experiments complement our theory.

Suggested Citation

  • Shiyun Chen & Ery Arias-Castro, 2021. "On the power of some sequential multiple testing procedures," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(2), pages 311-336, April.
    • Handle: RePEc:spr:aistmt:v:73:y:2021:i:2:d:10.1007_s10463-020-00752-5
    DOI: 10.1007/s10463-020-00752-5
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    References listed on IDEAS

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