p.hmp: Asymptotically Exact Harmonic Mean p-Value

In harmonicmeanp: Harmonic Mean p-Values and Model Averaging by Mean Maximum Likelihood

Description

Compute a combined p-value via the asymptotically exact harmonic mean p-value. The harmonic mean p-value (HMP) test combines p-values and corrects for multiple testing while controlling the strong-sense family-wise error rate. It is more powerful than common alternatives including Bonferroni and Simes procedures when combining large proportions of all the p-values, at the cost of slightly lower power when combining small proportions of all the p-values. It is more stringent than controlling the false discovery rate, and possesses theoretical robustness to positive correlations between tests and unequal weights. It is a multi-level test in the sense that a superset of one or more significant tests is certain to be significant and conversely when the superset is non-significant, the constituent tests are certain to be non-significant. It is based on MAMML (model averaging by mean maximum likelihood), a frequentist analogue to Bayesian model averaging, and is theoretically grounded in generalized central limit theorem.

Usage

p.hmp(p, w = NULL, L = NULL, w.sum.tolerance = 1e-6, multilevel = TRUE)

Arguments

p	A numeric vector of one or more p-values to be combined. Missing values (NAs) will cause a missing value to be returned.
w	An optional numeric vector of weights that can be interpreted as incorporating information about prior model probabilities and power of the tests represented by the individual p-values. The sum of the weights cannot exceed one but may be less than one, which is interpreted as meaning that some of the L p-values have been excluded.
L	The number of constituent p-values. This is mandatory when using p.hmp as part of a multilevel test procedure and needs to be set equal to the total number of individual p-values investigated, which may be (much) larger than the length of the argument p. If ignored, it defaults to the length of argument p, with a warning.
w.sum.tolerance	Tolerance for checking that the weights do not exceed 1.
multilevel	Logical, indicating whether the test is part of a multilevel procedure involving a total of L p-values intended to control the strong-sense familywise error rate (TRUE, default), or whether a stand-alone test is to be produced (FALSE), in which case L is ignored.

Value

When multilevel==TRUE an asymptotically exact combined p-value is returned, equivalent to sum(w)*pharmonicmeanp(hmp.stat(p,w)/sum(w),L). This p-value can be compared against threshold sum(w)*alpha to control the strong-sense familywise error rate at level alpha. A test based on this asymptotically exact harmonic mean p-value is equivalent to comparison of the ‘raw’ harmonic mean p-value calculated by hmp.stat(p,w) to a 'harmonic mean p-value threshold' sum(w)*qharmonicmeanp(alpha,L).

When multilevel==FALSE an asymptotically exact combined p-value is returned, equivalent to pharmonicmeanp(hmp.stat(p,w),length(p)). L is ignored and w is normalized to sum to 1. This p-value can be compared against threshold alpha to control the per-test error rate at level alpha. A test based on this asymptotically exact harmonic mean p-value is equivalent to comparison of the ‘raw’ harmonic mean p-value calculated by hmp.stat(p,w) to a 'harmonic mean p-value threshold' qharmonicmeanp(alpha,L).

Author(s)

Daniel J. Wilson

References

Daniel J. Wilson (2019) The harmonic mean p-value for combining dependent tests. Proceedings of the National Academy of Sciences USA 116: 1195-1200.

See Also

hmp.stat

Examples

# For detailed examples type vignette("harmonicmeanp")
# Example: simulate from a non-uniform distribution mildly enriched for small \emph{p}-values. 
# Compare the significance of the combined p-value for Bonferroni, Benjamini-Hochberg (i.e. Simes), 
# HMP and (equivalently) MAMML with 2 degrees of freedom.
L = 1000
p = rbeta(L,1/1.8,1)
min(p.adjust(p,"bonferroni"))
min(p.adjust(p,"BH"))
p.hmp(p,L=L)
p.mamml(1/p,2,L=L)

# Multilevel test: find significant subsets of the 1000 p-values by comparing overlapping
# subsets of size 100 and 10 in addition to the top-level test of all 1000, while maintaining
# the strong-sense family-wise error rate.
p.100 = sapply(seq(1,L-100,by=10),function(beg) p.hmp(p[beg+0:99],L=L))
plot(-log10(p.100),xlab="Test index",main="Moving average",
  ylab="Asymptotically exact combined -log10 p-value",type="o")
# The appropriate threshold is alpha (e.g. 0.05) times the proportion of tests in each p.100
abline(h=-log10(0.05*100/1000),col=2,lty=2)

p.10 = sapply(seq(1,L-10,by=5),function(beg) p.hmp(p[beg+0:9],L=L))
plot(-log10(p.10),xlab="Test index",main="Moving average",
  ylab="Asymptotically exact combined -log10 p-value",type="o")
# The appropriate threshold is alpha (e.g. 0.05) times the proportion of tests in each p.10
abline(h=-log10(0.05*10/1000),col=2,lty=2)

Example output

Loading required package: FMStable
[1] 1.563764e-07
[1] 1.563764e-07
       p.hmp 
1.552851e-07 
     p.mamml 
1.552851e-07 

harmonicmeanp documentation built on Aug. 20, 2019, 1:04 a.m.