Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Weighted Hypothesis Testing

Publication Date

April, 2006

Publication Type

Tech Report

Author(s)

Larry Wasserman and Kathryn Roeder

Abstract

The power of multiple testing procedures can be increased by using weighted p-values (Genovese, Roeder and Wasserman 2005). We derive the optimal weights and we show that the power is remarkably robust to misspecification of these weights. We consider two methods for choosing weights in practice. The first, external weighting, is based on prior information. The second, estimated weighting, uses the data to choose weights.