Screening-Assisted Dynamic Multiple Testing with False Discovery Rate Control  

作　　者：MUSHTAQ Iram ZHOU Qin ZI Xuemin 

机构地区：[1]School of Statistics and Data Science,LPMC and KLMDASR,Nankai University,Tianjin 300071,China [2]School of Mathematics and Statistics,Jiangsu Normal University,Xuzhou 221116,China [3]School of Science,Tianjin University of Technology and Education,Tianjin 300350,China

出　　处：《Journal of Systems Science & Complexity》2023年第2期716-754,共39页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant Nos.11771332,11771220,11671178,11925106,11971247;the National Science Foundation of Tianjin under Grant Nos.18JCJQJC46000,18ZXZNGX00140;the 111Project B20016;Mushtaq was also supported by the Fundamental Research Funds for the Central Universities。

摘　　要：In the era of big data,high-dimensional data always arrive in streams,making timely and accurate decision necessary.It has become particularly important to rapidly and sequentially identify individuals whose behavior deviates from the norm.Aiming at identifying as many irregular behavioral patterns as possible,the authors develop a large-scale dynamic testing system in the framework of false discovery rate(FDR)control.By fully exploiting the sequential feature of datastreams,the authors propose a screening-assisted procedure that filters streams and then only tests streams that pass the filter at each time point.A data-driven optimal screening threshold is derived,giving the new method an edge over existing methods.Under some mild conditions on the dependence structure of datastreams,the FDR is shown to be strongly controlled and the suggested approach for determining screening thresholds is asymptotically optimal.Simulation studies show that the proposed method is both accurate and powerful,and a real-data example is used for illustrative purpose.

关 键 词：CHANGE-POINT false discovery rate high-dimensional datastreams large-scale inference sequential analysis weak dependence structure 

分 类 号：TP311.13[自动化与计算机技术—计算机软件与理论]