Factor-Adjusted Robust Multiple Testing
The FarmTest library implements the Factor-Adjusted Robust Multiple Testing method proposed by Fan et al., 2019. Let X be a p-dimensional random vector with mean μ = (μ1,...,μp)T. This library carries out simultaneous inference on the p hypotheses H0j : μj = μ0j. To explicitly caputre the strong dependency among features, we assume that the data vectors Xi that are independently drawn from X following a factor model: Xi = μ + Bfi + εi, where fi are the common factors, B denotes the factor loading matrix, and εi are idiosyncratic errors. Specifically, we consider three different scenarios with (i) observable factors, (ii) latent factors and (iii) a mixture of covariates and latent factors. Assume fi and εi are independent and have zero means. The number of hypotheses p may be comparable to or considerably exceed the sample size n.
FarmTest implements a series of adaptive Huber methods combined with fast data-driven tuning schemes to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or asymetric error distributions. Extensions to two-sample simultaneous mean comparison are also included. As by-products, this library also contains functions that compute adaptive Huber mean and covariance matrix estimators that are of independent interest.
The FarmTest method involves multiple tuning parameters for fitting the factor models. In the case of latent factors, the algorithm first computes a robust covariance matrix estimator, and then use the eigenvalue ratio method (Ahn and Horenstein, 2013) along with SVD to estimate the number of factors and loading vectors. It is therefore computationally expenstive to select all the tuning parameters via cross-validation. Instead, the current version makes use of the fast data-driven tuning scheme proposed by Ke et al., 2019, which significantly reduces the computational cost.
FarmTest is available on CRAN, and it can be installed into
R environment using the command:
There are 7 functions in this library:
farm.test: Factor-adjusted robust multiple testing.
print.farm.test: Print function for
summary.farm.test: Summary function for
plot.farm.test: Plot function for
huber.mean: Tuning-free Huber mean estimation.
huber.cov: Tuning-free Huber-type covariance estimation.
huber.reg: Tuning-free Huber regression.
Help on the functions can be accessed by typing
?, followed by function name at the
R command prompt.
?farm.test will present a detailed documentation with inputs, outputs and examples of the function
First generate data from a three-factor model X = μ + Bf + ε. The sample size and dimension (the number of hypotheses) are taken to be 50 and 100, respectively. The number of nonnulls is 5.
library(FarmTest) n = 50 p = 100 K = 3 muX = rep(0, p) muX[1:5] = 2 set.seed(2019) epsilonX = matrix(rnorm(p * n, 0, 1), nrow = n) BX = matrix(runif(p * K, -2, 2), nrow = p) fX = matrix(rnorm(K * n, 0, 1), nrow = n) X = rep(1, n) %*% t(muX) + fX %*% t(BX) + epsilonX
In this case, the factors are unobservable and thus need to be recovered from data. Assume one is interested in simultaneous inference on the means with two-sided alternatives. For a desired FDR level α=0.05, run FarmTest as follows:
output = farm.test(X)
The library includes
plot.farm.test functions, which summarize, print and visualize the results of
summary(output) print(output) plot(output)
Based on 100 simulations, we report below the average values of the true positive rate (TPR), false positive rate (FPR) and false discover rate (FDR).
| TPR | FPR | FDR | | :---: | :---: | :---: | | 1.000 | 0.002 | 0.026 |
In addition, we illustrate the use of FarmTest under different circumstances. For one-sided alternatives, modify the
alternative argument to be
output = farm.test(X, alternative = "less")
The number of factors can be user-specified. It should be a non-negative integer that is less than the minumum between sample size and number of hypotheses. However, without any subjective ground of the data, this is not recommended.
output = farm.test(X, KX = 10)
As a special case, when we set number of factors to be zero, a robust test without factor adjustment will be conducted.
output = farm.test(X, KX = 0)
In the situation with observable factors, put the n by K factor matrix into argument
output = farm.test(X, fX = fX)
Finally, as an extension to two-sample problems, we generate another sample Y with the same dimension 100, and conduct a two-sided test with latent factors.
muY = rep(0, p) muY[1:5] = 4 epsilonY = matrix(rnorm(p * n, 0, 1), nrow = n) BY = matrix(runif(p * K, -2, 2), nrow = p) fY = matrix(rnorm(K * n, 0, 1), nrow = n) Y = rep(1, n) %*% t(muY) + fY %*% t(BY) + epsilonY output = farm.test(X, Y = Y)
As by-products, robust mean and covariance matrix estimation is not only an important step in the FarmTest, but also of independent interest in many other problems. We write separate functions
huber.cov for this purpose.
library(FarmTest) set.seed(1) n = 1000 X = rlnorm(n, 0, 1.5) huberMean = huber.mean(X) n = 100 d = 50 X = matrix(rt(n * d, df = 3), n, d) huberCov = huber.cov(X)
This library is built upon an earlier version written by Bose, K., Ke, Y. and Zhou, W.-X. (GitHub). Another library named
tfHuber that implements data-driven robust mean and covariance matrix estimation as well as standard and l1-regularized Huber regression can be found here.
Xiaoou Pan email@example.com
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Bose, K., Fan, J., Ke, Y., Pan, X. and Zhou, W.-X. (2019). FarmTest: An R package for factor-adjusted robust multiple testing. Preprint
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