Date of this Version
Journal of the Royal Statistical Society: Series B: Statistical Methodology
Alpha-investing is an adaptive, sequential methodology that encompasses a large family of procedures for testing multiple hypotheses. All control mFDR, which is the ratio of the expected number of false rejections to the expected number of rejections. mFDR is a weaker criterion than FDR, which is the expected value of the ratio. We compensate for this weakness by showing that alpha-investing controls mFDR at every rejected hypothesis. Alpha-investing resembles alpha-spending used in sequential trials, but possesses a key difference. When a test rejects a null hypothesis, alpha-investing earns additional probability toward subsequent tests. Alpha-investing hence allows one to incorporate domain knowledge into the testing procedure and improve the power of the tests. In this way, alpha-investing enables the statistician to design a testing procedure for a specific problem while guaranteeing control of mFDR.
alpha spending, Bonferroni method, false discovery rate (FDR, mFDR), family-wise error rate (FWER), multiple comparisons
Foster, D., & Stine, R. A. (2008). Alpha-Investing: A Procedure for Sequential Control of Expected False Discoveries. Journal of the Royal Statistical Society: Series B: Statistical Methodology, 70 (2), 429-444. http://dx.doi.org/10.1111/j.1467-9868.2007.00643.x
Date Posted: 27 November 2017
This document has been peer reviewed.