FarmTest: Factor-Adjusted Robust Multiple Testing

Performs robust multiple testing for means in the presence of known and unknown latent factors presented in Fan et al.(2019) "FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control" <doi:10.1080/01621459.2018.1527700>. Implements a series of adaptive Huber methods combined with fast data-drive tuning schemes proposed in Ke et al.(2019) "User-Friendly Covariance Estimation for Heavy-Tailed Distributions" <doi:10.1214/19-STS711> to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or asymmetric error distributions. Extensions to two-sample simultaneous mean comparison problems are also included. As by-products, this package contains functions that compute adaptive Huber mean, covariance and regression estimators that are of independent interest.

Package details

AuthorXiaoou Pan [aut, cre], Yuan Ke [aut], Wen-Xin Zhou [aut]
MaintainerXiaoou Pan <>
Package repositoryView on CRAN
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FarmTest documentation built on Sept. 7, 2020, 9:07 a.m.