Large-scale multiple hypothesis testing with the normal-beta prime prior. Issue 6 (2nd November 2019)

• Record Type: Journal Article
• Authors: Bai, Ray; Ghosh, Malay
• Is Part Of: Statistics. Volume 53:Issue 6(2019)
• Page Start: 1210
• Page End: 1233
• Publication Date: 2019-11-02
• Subjects: Bayes oracle -- empirical Bayes -- multiple testing -- shrinkage prior -- sparsity; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2019.1662017
• Languages: English
• ISSNs: 0233-1888

Abstract

ABSTRACT: We revisit the problem of simultaneously testing the means of n independent normal observations under sparsity. We take a Bayesian approach to this problem by studying a scale-mixture prior known as the normal-beta prime (NBP) prior. To detect signals, we propose a hypothesis test based on thresholding the posterior shrinkage weight under the NBP prior. Taking the loss function to be the expected number of misclassified tests, we show that our test procedure asymptotically attains the optimal Bayes risk when the signal proportion p is known. When p is unknown, we introduce an empirical Bayes variant of our test which also asymptotically attains the Bayes Oracle risk in the entire range of sparsity parameters p ∝ n − ϵ, ϵ ∈ ( 0, 1 ) . Finally, we also consider restricted marginal maximum likelihood (REML) and hierarchical Bayes approaches for estimating a key hyperparameter in the NBP prior and examine multiple testing under these frameworks.