David Azriel

The Empirical Distribution of a Large Number of Correlated Normal Variables

Motivated by the advent of high-dimensional, highly correlated data, this work studies the limit behavior of the empirical cumulative distribution function (ecdf) of standard normal random variables under arbitrary correlation. First, we provide a necessary and sufficient condition for convergence of the ecdf to the standard normal distribution. Next, under general correlation, we show that the ecdf limit is a random, possible infinite, mixture of normal distribution functions that depends on a number of latent variables and can serve as an asymptotic approximation to the ecdf in high dimensions. We provide conditions under which the dimension of the ecdf limit, defined as the smallest number of effective latent variables, is finite. Estimates of the latent variables are provided and their consistency proved. We demonstrate these methods in a real high-dimensional data example from brain imaging where it is shown that, while the study exhibits apparently strongly significant results, they can be entirely explained by correlation, as captured by the asymptotic approximation developed here. Supplementary materials for this article are available online.

Adaptive Designs to Maximize Power in Clinical Trials with Multiple Treatments

Abstract We consider a clinical trial with three competing treatments and study designs that allocate subjects sequentially in order to maximize the power of relevant tests. Two different criteria are considered: the first is to find the best treatment and the second is to order all three. The power converges to one in an exponential rate and we find the optimal allocation that maximizes this rate by large deviation theory. For the first criterion the optimal allocation has the plausible property that it assigns a small fraction of subjects to the inferior treatment. The optimal allocation depends heavily on the unknown parameters and, therefore, in order to implement it, a sequential adaptive scheme is considered. At each stage of the trial the parameters are estimated and the next subject is allocated according to the estimated optimal allocation. We study the asymptotic properties of this design by large deviations theory and the small sample behavior by simulations. Our results demonstrate that, unlike the two-treatments case, adaptive design can provide significant improvement in power.