Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

False Discovery Control with P-Value Weighting

Publication Date

October, 2004

Publication Type

Tech Report

Author(s)

Christopher R. Genovese, Kathryn Roeder and Larry Wasserman

Abstract

We present a method for multiple hypothesis testing that maintains control of the False Discovery Rate while incorporating prior information about the hypothesis. The prior information takes the form of p-value weights. If the assignment of weights is positively associated with the null hypotheses being false, the procedure improves power, except in cases where power is already near one. Even if the assignment of weights is poor, power is only reduced slightly, as long as the weights are not too large. We also provide a similar method to control False Discovery Exceedance.