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In this paper, we propose a new estimation procedure for discovering the structure of Gaussian Markov random fields (MRFs) with false discovery rate (FDR) control, making use of the sorted l1-norm (SL1) regularization. A Gaussian MRF is an acyclic graph representing a multivariate Gaussian distribution, where nodes are random variables and edges represent the conditional dependence between the connected nodes. Since it is possible to learn the edge structure of Gaussian MRFs directly from data, Gaussian MRFs provide an excellent way to understand complex data by revealing the dependence structure among many inputs features, such as genes, sensors, users, documents, etc. In learning the graphical structure of Gaussian MRFs, it is desired to discover the actual edges of the underlying but unknown probabilistic graphical model-it becomes more complicated when the number of random variables (features) p increases, compared to the number of data points n. In particular, when p >> n, it is statistically unavoidable for any estimation procedure to include false edges. Therefore, there have been many trials to reduce the false detection of edges, in particular, using different types of regularization on the learning parameters. Our method makes use of the SL1 regularization, introduced recently for model selection in linear regression. We focus on the benefit of SL1 regularization that it can be used to control the FDR of detecting important random variables. Adapting SL1 for probabilistic graphical models, we show that SL1 can be used for the structure learning of Gaussian MRFs using our suggested procedure nsSLOPE (neighborhood selection Sorted L-One Penalized Estimation), controlling the FDR of detecting edges.
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Differential privacy provides a rigorous framework for privacy-preserving data analysis. This paper proposes the first differentially private procedure for controlling the false discovery rate (FDR) in multiple hypothesis testing. Inspired by the Benjamini-Hochberg procedure (BHq), our approach is to first repeatedly add noise to the logarithms of the $p$-values to ensure differential privacy and to select an approximately smallest $p$-value serving as a promising candidate at each iteration; the selected $p$-values are further supplied to the BHq and our private procedure releases only the rejected ones. Moreover, we develop a new technique that is based on a backward submartingale for proving FDR control of a broad class of multiple testing procedures, including our private procedure, and both the BHq step-up and step-down procedures. As a novel aspect, the proof works for arbitrary dependence between the true null and false null test statistics, while FDR control is maintained up to a small multiplicative factor.
Transfer learning for high-dimensional Gaussian graphical models (GGMs) is studied with the goal of estimating the target GGM by utilizing the data from similar and related auxiliary studies. The similarity between the target graph and each auxiliary graph is characterized by the sparsity of a divergence matrix. An estimation algorithm, Trans-CLIME, is proposed and shown to attain a faster convergence rate than the minimax rate in the single study setting. Furthermore, a debiased Trans-CLIME estimator is introduced and shown to be element-wise asymptotically normal. It is used to construct a multiple testing procedure for edge detection with false discovery rate control. The proposed estimation and multiple testing procedures demonstrate superior numerical performance in simulations and are applied to infer the gene networks in a target brain tissue by leveraging the gene expressions from multiple other brain tissues. A significant decrease in prediction errors and a significant increase in power for link detection are observed.
We propose an adaptive sampling approach for multiple testing which aims to maximize statistical power while ensuring anytime false discovery control. We consider $n$ distributions whose means are partitioned by whether they are below or equal to a baseline (nulls), versus above the baseline (actual positives). In addition, each distribution can be sequentially and repeatedly sampled. Inspired by the multi-armed bandit literature, we provide an algorithm that takes as few samples as possible to exceed a target true positive proportion (i.e. proportion of actual positives discovered) while giving anytime control of the false discovery proportion (nulls predicted as actual positives). Our sample complexity results match known information theoretic lower bounds and through simulations we show a substantial performance improvement over uniform sampling and an adaptive elimination style algorithm. Given the simplicity of the approach, and its sample efficiency, the method has promise for wide adoption in the biological sciences, clinical testing for drug discovery, and online A/B/n testing problems.
Multiple hypothesis testing, a situation when we wish to consider many hypotheses, is a core problem in statistical inference that arises in almost every scientific field. In this setting, controlling the false discovery rate (FDR), which is the expected proportion of type I error, is an important challenge for making meaningful inferences. In this paper, we consider the problem of controlling FDR in an online manner. Concretely, we consider an ordered, possibly infinite, sequence of hypotheses, arriving one at each timestep, and for each hypothesis we observe a p-value along with a set of features specific to that hypothesis. The decision whether or not to reject the current hypothesis must be made immediately at each timestep, before the next hypothesis is observed. The model of multi-dimensional feature set provides a very general way of leveraging the auxiliary information in the data which helps in maximizing the number of discoveries. We propose a new class of powerful online testing procedures, where the rejections thresholds (significance levels) are learnt sequentially by incorporating contextual information and previous results. We prove that any rule in this class controls online FDR under some standard assumptions. We then focus on a subclass of these procedures, based on weighting significance levels, to derive a practical algorithm that learns a parametric weight function in an online fashion to gain more discoveries. We also theoretically prove, in a stylized setting, that our proposed procedures would lead to an increase in the achieved statistical power over a popular online testing procedure proposed by Javanmard & Montanari (2018). Finally, we demonstrate the favorable performance of our procedure, by comparing it to state-of-the-art online multiple testing procedures, on both synthetic data and real data generated from different applications.
Consider the online testing of a stream of hypotheses where a real--time decision must be made before the next data point arrives. The error rate is required to be controlled at {all} decision points. Conventional emph{simultaneous testing rules} are no longer applicable due to the more stringent error constraints and absence of future data. Moreover, the online decision--making process may come to a halt when the total error budget, or alpha--wealth, is exhausted. This work develops a new class of structure--adaptive sequential testing (SAST) rules for online false discover rate (FDR) control. A key element in our proposal is a new alpha--investment algorithm that precisely characterizes the gains and losses in sequential decision making. SAST captures time varying structures of the data stream, learns the optimal threshold adaptively in an ongoing manner and optimizes the alpha-wealth allocation across different time periods. We present theory and numerical results to show that the proposed method is valid for online FDR control and achieves substantial power gain over existing online testing rules.
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