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Activity Number: 27
Type: Contributed
Date/Time: Sunday, July 29, 2007 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #309744
Title: Alpha-Investing: A New Multiple Hypothesis Testing Procedure
Author(s): Robert Stine*+ and Dean Foster
Companies: University of Pennsylvania and University of Pennsylvania
Address: 444 Huntsman Hall, Philadelphia, PA, 19104-6340,
Keywords: Bonferroni ; False discovery rate ; FDR ; Multiple comparisons ; family-wide error rate
Abstract:

Alpha-investing is an adaptive, sequential methodology that encompasses a large family of procedures. All control mFDR, the ratio of the expected number of false rejections to the expected number of rejections. mFDR is a weaker criterion than FDR, which is the expected value of the ratio. We compensate for this weakness by showing that alpha-investing controls mFDR at every rejected hypothesis. Alpha-investing resembles alpha-spending used in sequential trials, but possess a key difference. When a test rejects a null hypothesis, alpha-investing earns additional probability toward subsequent tests. Alpha-investing hence allows one to incorporate domain knowledge into the testing procedure and improve the power of the tests. In this way, alpha-investing enables the statistician to design a testing procedure for a specific problem while guaranteeing control of mFDR.

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Revised September, 2007