supLORD: supLORD: Online control of the false discovery exceedance...

In dsrobertson/onlineFDR: Online error rate control

supLORD: Online control of the false discovery exceedance (FDX) and the FDR at stopping times

Description

Implements the supLORD procedure, which controls both FDX and FDR, including the FDR at stopping times, as presented by Xu and Ramdas (2021).

Usage

supLORD(
  d,
  delta = 0.05,
  eps,
  r,
  eta,
  rho,
  gammai,
  random = TRUE,
  display_progress = FALSE,
  date.format = "%Y-%m-%d"
)

Arguments

d	Either a vector of p-values, or a dataframe with three columns: an identifier (‘id’), date (‘date’) and p-value (‘pval’). If no column of dates is provided, then the p-values are treated as being ordered in sequence, arriving one at a time.
delta	The probability at which the FDP exceeds eps (at any time step after making r rejections). Must be between 0 and 1, defaults to 0.05.
eps	The upper bound on the FDP. Must be between 0 and 1.
r	The threshold of rejections after which the error control begins to apply. Must be a positive integer.
eta	Controls the pace at which wealth is spent as a function of the algorithm's current wealth. Must be a positive real number.
rho	Controls the length of time before the spending sequence exhausts the wealth earned from a rejection. Must be a positive integer.
gammai	Optional vector of \gamma_i. A default is provided as proposed by Javanmard and Montanari (2018).
random	Logical. If TRUE (the default), then the order of the p-values in each batch (i.e. those that have exactly the same date) is randomised.
display_progress	Logical. If TRUE prints out a progress bar for the algorithm runtime.
date.format	Optional string giving the format that is used for dates.

Details

The function takes as its input either a vector of p-values or a dataframe with three columns: an identifier (‘id’), date (‘date’) and p-value (‘pval’). The case where p-values arrive in batches corresponds to multiple instances of the same date. If no column of dates is provided, then the p-values are treated as being ordered in sequence, arriving one at a time..

The supLORD procedure provably controls the FDX for p-values that are conditionally superuniform under the null. supLORD also controls the supFDR and hence the FDR (even at stopping times). Given an overall significance level \alpha, we choose a sequence of non-negative non-increasing numbers \gamma_i that sum to 1.

supLORD requires the user to specify r, a threshold of rejections after which the error control begins to apply, eps, the upper bound on the false discovery proportion (FDP), and delta, the probability at which the FDP exceeds eps at any time step after making r rejections. As well, the user should specify the variables eta, which controls the pace at which wealth is spent (as a function of the algorithm's current wealth), and rho, which controls the length of time before the spending sequence exhausts the wealth earned from a rejection.

Further details of the supLORD procedure can be found in Xu and Ramdas (2021).

Value

d.out

A dataframe with the original data d (which will be reordered if there are batches and random = TRUE), the supLORD-adjusted significance thresholds \alpha_i and the indicator function of discoveries R. Hypothesis i is rejected if the i-th p-value is less than or equal to \alpha_i, in which case R[i] = 1 (otherwise R[i] = 0).

References

Xu, Z. and Ramdas, A. (2021). Dynamic Algorithms for Online Multiple Testing. Annual Conference on Mathematical and Scientific Machine Learning, PMLR, 145:955-986.

Examples

set.seed(1)
N <- 1000
B <- rbinom(N, 1, 0.5)
Z <- rnorm(N, mean = 3*B)
pval <- pnorm(-Z)

out <- supLORD(pval, eps=0.15, r=30, eta=0.05, rho=30, random=FALSE)
head(out)
sum(out$R)

dsrobertson/onlineFDR documentation built on April 21, 2023, 8:17 p.m.