Chloé Friguet

A Factor Model Approach to Multiple Testing Under Dependence

The impact of dependence between individual test statistics is currently among the most discussed topics in the multiple testing of high-dimensional data literature, especially since Benjamini and Hochberg (1995) introduced the false discovery rate (FDR). Many papers have first focused on the impact of dependence on the control of the FDR. Some more recent works have investigated approaches that account for common information shared by all the variables to stabilize the distribution of the error rates. Similarly, we propose to model this sharing of information by a factor analysis structure for the conditional variance of the test statistics. It is shown that the variance of the number of false discoveries increases along with the fraction of common variance. Test statistics for general linear contrasts are deduced, taking advantage of the common factor structure to reduce the variance of the error rates. A conditional FDR estimate is proposed and the overall performance of multiple testing procedure is shown to be markedly improved, regarding the nondiscovery rate, with respect to classical procedures. The present methodology is also assessed by comparison with leading multiple testing methods.

Stability of feature selection in classification issues for high-dimensional correlated data

Handling dependence or not in feature selection is still an open question in supervised classification issues where the number of covariates exceeds the number of observations. Some recent papers surprisingly show the superiority of naive Bayes approaches based on an obviously erroneous assumption of independence, whereas others recommend to infer on the dependence structure in order to decorrelate the selection statistics. In the classical linear discriminant analysis (LDA) framework, the present paper first highlights the impact of dependence in terms of instability of feature selection. A second objective is to revisit the above issue using a flexible factor modeling for the covariance. This framework introduces latent components of dependence, conditionally on which a new Bayes consistency is defined. A procedure is then proposed for the joint estimation of the expectation and variance parameters of the model. The present method is compared to recent regularized diagonal discriminant analysis approaches, assuming independence among features, and regularized LDA procedures, both in terms of classification performance and stability of feature selection. The proposed method is implemented in the R package FADA, freely available from the R repository CRAN.

Control of the FWER in Multiple Testing Under Dependence

Multiple testing issues have long been considered almost exclusively in the context of General Linear Model, in which usually the significance of a quite limited number of contrasts is tested simultaneously. Most of the procedures used in this context have been designed to control the so-called Family-Wise Error Rate (FWER), defined as the probability of more than one erroneous rejection of a null hypothesis. In the last two decades, large-scale significance tests encountered for example in microarray data analysis have renewed the methodology on multiple testing by introducing novel definitions of Type-I error rates, such as the False Discovery Rate (FDR), to define less conservative procedures. High dimension has also highlighted the need for improvements, to guarantee the control of the error rates in various situations of dependent data. The present article gives motivations for a factor analysis modeling of the covariance between test statistics, both in the situation of simultaneous tests of a small set of contrasts in the General Linear Model and also in high-dimensional significance tests. Impact of the dependence on the power of multiple testing is first discussed and a new procedure controlling the FWER and based on factor-adjusted test statistics is presented as a solution to improve the Type-II error rate with respect to existing methods. Finally, the beneficial impact of the new method is shown on simulated datasets.