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Activity Number: 130
Type: Contributed
Date/Time: Monday, August 10, 2015 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #316668 View Presentation
Title: Optimal Sparse Signal Recovery Under Dependence
Author(s): Jun Li* and Ping-Shou Zhong
Companies: Kent State University and Michigan State University
Keywords: False discovery rate ; high dimensional data ; multiple testing
Abstract:

The paper considers the problem of identifying the sparse different components between two high dimensional means of column-wise dependent random vectors. We show that the dependence can be utilized to lower the identification boundary for signal recovery. Moreover, an optimal convergence rate for the marginal false non-discovery rate (mFNR) is established under the dependence. The convergence rate is faster than the optimal rate without dependence. To recover the sparse signal bearing dimensions, we propose a Dependence-Assisted Thresholding and Excising (DATE) procedure, which is shown to be rate optimal for the mFNR with the marginal false discovery rate (mFDR) controlled at a pre-specified level. Simulation studies and case study are given to demonstrate the performance of the proposed signal identification procedure.


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