False discovery rate

False discovery rate

False discovery rate (FDR) control is a statistical method used in multiple hypothesis testing to correct for multiple comparisons. In a list of rejected hypotheses, FDR controls the expected proportion of incorrectly rejected null hypotheses (type I errors). [Benjamini, Y., and Hochberg Y. (1995). "Controlling the false discovery rate: a practical and powerful approach to multiple testing". "Journal of the Royal Statistical Society. Series B (Methodological)" 57 (1), 289–300. [http://www.math.tau.ac.il/~ybenja/MyPapers/benjamini_hochberg1995.pdf School of Mathematical Sciences] ] It is a less conservative procedure for comparison, with greater power than familywise error rate (FWER) control, at a cost of increasing the likelihood of obtaining type I errors. [Shaffer J.P. (1995) Multiple hypothesis testing, Annual Rview of Psychology 46:561-584, [http://dx.doi.org/10.1146/annurev.ps.46.020195.003021 Annual Reviews] ]

The q value is defined to be the FDR analogue of the p-value. The q-value of an individual hypothesis test is the minimum FDR at which the test may be called significant. One approach is to directly estimate q-values rather than fixing a level at which to control the FDR.

Classification of "m" hypothesis tests

The following table defines some random variables related to the m hypothesis tests.

* m_0 is the number of true null hypotheses
* m - m_0 is the number of false null hypotheses
* U is the number of true negatives
* V is the number of false positives
* T is the number of false negatives
* S is the number of true positives
* H_1 ... H_m the null hypotheses being tested
* In "m" hypothesis tests of which "m0" are true null hypotheses, "R" is an observable random variable, and "S", "T", "U", and "V" are unobservable random variables.

The false discovery rate is given by mathrm{E}!left [frac{V}{V+S} ight ] = mathrm{E}!left [frac{V}{R} ight ] and one wants to keep this value below a threshold alpha.

( frac{V}{R} is defined to be 0 when R = 0 )

Controlling procedures

Independent tests

The "Simes" procedure ensures that its expected value mathrm{E}!left [ frac{V}{V + S} ight] , is less than a given alpha (Benjamini and Hochberg 1995). This procedure is valid when the m tests are independent. Let H_1 ldots H_m be the null hypotheses and P_1 ldots P_m their corresponding p-values. Order these values in increasing order and denote them by P_{(1)} ldots P_{(m)}. For a given alpha, find the largest k such that P_{(k)} leq frac{k}{m} alpha.

Then reject (i.e. declare positive) all H_{(i)} for i = 1, ldots, k.

...Note, the mean alpha for these m tests is frac{alpha(m+1)}{2m} which could be used as a rough FDR (RFDR) or "alpha adjusted for m indep. tests."

NOTE: The RFDR calculation shown here is not part of the Benjamini and Hochberg method.

Dependent tests

The "Benjamini and Yekutieli" procedure controls the false discovery rate under dependence assumptions. This refinement modifies the threshold and finds the largest k such that:

:P_{(k)} leq frac{k}{m cdot c(m)} alpha

* If the tests are independent: c(m) = 1 (same as above)
* If the tests are positively correlated: c(m) = 1
* If the tests are negatively correlated: c(m) = sum _{i=1} ^m frac{1}{i}

In the case of negative correlation, c(m) can be approximated by using the Euler-Mascheroni constant

:sum _{i=1} ^m frac{1}{i} approx ln(m) + gamma.

Using RFDR above, an approximate FDR (AFDR) is the min(mean alpha) for m dependent tests = RFDR / ( ln(m)+ 0.57721...).


*cite journal
author = Benjamini, Yoav; Hochberg, Yosef
year = 1995
title = Controlling the false discovery rate: a practical and powerful approach to multiple testing
journal = Journal of the Royal Statistical Society, Series B (Methodological)
volume = 57
issue = 1
pages = 289–300
id = MathSciNet | id = 1325392
url = http://www.math.tau.ac.il/~ybenja/MyPapers/benjamini_hochberg1995.pdf

*cite journal
author = Benjamini, Yoav; Yekutieli, Daniel
year = 2001
title = The control of the false discovery rate in multiple testing under dependency
journal = Annals of Statistics
volume = 29
issue = 4
pages = 1165–1188
url = http://www.math.tau.ac.il/~ybenja/MyPapers/benjamini_yekutieli_ANNSTAT2001.pdf
id = MathSciNet | id = 1869245
doi = 10.1214/aos/1013699998

*cite journal
author = Storey, John D.
year = 2002
title = A direct approach to false discovery rates
journal = Journal of the Royal Statistical Society, Series B (Methodological)
volume = 64
issue = 3
pages = 479–498
url = http://www.blackwell-synergy.com/links/doi/10.1111%2F1467-9868.00346
id = MathSciNet | id = 1924302
doi = 10.1111/1467-9868.00346

*cite journal
author = Storey, John D.
year = 2003
title = The positive false discovery rate: A Bayesian interpretation and the "q"-value
journal = Annals of Statistics
volume = 31
issue = 6
pages = 2013–2035
id = MathSciNet | id = 2036398
doi = 10.1214/aos/1074290335
url = http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.aos/1074290335

External links

* [http://strimmerlab.org/notes/fdr.html False Discovery Rate Analysis in R] - Lists links with popular R packages

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