MultipleTesting.jl

The MultipleTesting package offers common algorithms for p-value adjustment and combination and more…
Author juliangehring
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1 Year Ago
Started In
December 2014

MultipleTesting

The MultipleTesting package offers common algorithms for p-value adjustment and combination as well as the estimation of the proportion π₀ of true null hypotheses.

xkcd p-value guide

Features

Adjustment of p-values

adjust(pvalues, <:PValueAdjustmentMethod)

The adjustment can also be performed on the k smallest out of n p-values:

adjust(pvalues, n, <:PValueAdjustmentMethod)

Bonferroni

adjust(pvalues, Bonferroni())

Bonferroni, C.E. (1936). Teoria statistica delle classi e calcolo delle probabilita (Libreria internazionale Seeber).

Benjamini-Hochberg

adjust(pvalues, BenjaminiHochberg())

Adaptive Benjamini-Hochberg with known π₀ or π₀ estimation method.

adjust(pvalues, BenjaminiHochbergAdaptive(π₀))
adjust(pvalues, BenjaminiHochbergAdaptive(<:PValueAdjustmentMethod))

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, 289–300.

Benjamini, Y., Krieger, A. M. & Yekutieli, D. (2006). Adaptive linear step-up procedures that control the false discovery rate. Biometrika 93, 491–507.

Benjamini-Yekutieli

adjust(pvalues, BenjaminiYekutieli())

Benjamini, Y., and Yekutieli, D. (2001). The Control of the False Discovery Rate in Multiple Testing under Dependency. The Annals of Statistics 29, 1165–1188.

Benjamini-Liu

adjust(pvalues, BenjaminiLiu())

Benjamini, Y., and Liu, W. (1999). A step-down multiple hypotheses testing procedure that controls the false discovery rate under independence. Journal of Statistical Planning and Inference 82, 163–170.

Hochberg

adjust(pvalues, Hochberg())

Hochberg, Y. (1988). A sharper Bonferroni procedure for multiple tests of significance. Biometrika 75, 800–802.

Holm

adjust(pvalues, Holm())

Holm, S. (1979). A Simple Sequentially Rejective Multiple Test Procedure. Scandinavian Journal of Statistics 6, 65–70.

Hommel

adjust(pvalues, Hommel())

Hommel, G. (1988). A stagewise rejective multiple test procedure based on a modified Bonferroni test. Biometrika 75, 383–386.

Sidak

adjust(pvalues, Sidak())

Šidák, Z. (1967). Rectangular Confidence Regions for the Means of Multivariate Normal Distributions. Journal of the American Statistical Association 62, 626–633.

Forward Stop

adjust(pvalues, ForwardStop())

G’Sell, M.G., Wager, S., Chouldechova, A., and Tibshirani, R. (2016). Sequential selection procedures and false discovery rate control. J. R. Stat. Soc. B 78, 423–444.

Barber-Candès

adjust(pvalues, BarberCandes())

Barber, R.F., and Candès, E.J. (2015). Controlling the false discovery rate via knockoffs. Ann. Statist. 43, 2055–2085.

Arias-Castro, E., and Chen, S. (2017). Distribution-free multiple testing. Electron. J. Statist. 11, 1983–2001.

Estimation of π₀

estimate(pvalues, <:Pi0Estimator)

Storey

estimate(pvalues, Storey())

Storey, J.D., Taylor, J.E., and Siegmund, D. (2004). Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 66, 187–205.

Storey's closed-form bootstrap

estimate(pvalues, StoreyBootstrap())

Robinson, D. (2016). Original Procedure for Choosing λ. http://varianceexplained.org/files/pi0boot.pdf

Least Slope

estimate(pvalues, LeastSlope())

Benjamini, Y., and Hochberg, Y. (2000). On the Adaptive Control of the False Discovery Rate in Multiple Testing With Independent Statistics. Journal of Educational and Behavioral Statistics 25, 60–83.

Two Step

estimate(pvalues, TwoStep())
estimate(pvalues, TwoStep(α))
estimate(pvalues, TwoStep(α, <:PValueAdjustmentMethod)

Benjamini, Y., Krieger, A.M., and Yekutieli, D. (2006). Adaptive linear step-up procedures that control the false discovery rate. Biometrika 93, 491–507.

RightBoundary

Storey's estimate with dynamically chosen λ

estimate(pvalues, RightBoundary())

Liang, K., and Nettleton, D. (2012). Adaptive and dynamic adaptive procedures for false discovery rate control and estimation. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 74, 163–182.

Beta-Uniform Mixture (BUM)

estimate(pvalues, BUM())

Pounds, S., and Morris, S.W. (2003). Estimating the occurrence of false positives and false negatives in microarray studies by approximating and partitioning the empirical distribution of p-values. Bioinformatics 19, 1236–1242.

Censored BUM

estimate(pvalues, CensoredBUM())

Markitsis, A., and Lai, Y. (2010). A censored beta mixture model for the estimation of the proportion of non-differentially expressed genes. Bioinformatics 26, 640–646.

Flat Grenander

estimate(pvalues, FlatGrenander())

Langaas, M., Lindqvist, B.H., and Ferkingstad, E. (2005). Estimating the proportion of true null hypotheses, with application to DNA microarray data. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 67, 555–572.

ConvexDecreasing

estimate(pvalues, ConvexDecreasing())
fit(ConvexDecreasing(), pvalues)

Langaas, M., Lindqvist, B.H., and Ferkingstad, E. (2005). Estimating the proportion of true null hypotheses, with application to DNA microarray data. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 67, 555–572.

Oracle for known π₀

estimate(pvalues, Oracle(π₀))

Combination of p-values

combine(pvalues, <:PValueCombination)

Fisher

combine(pvalues, Fisher())

Fisher, R.A. (1925). Statistical methods for research workers (Genesis Publishing Pvt Ltd).

Stouffer

Optionally with weights

combine(pvalues, Stouffer())
combine(pvalues, weights, Stouffer())

Stouffer, S.A. (1949). The American soldier. Vol. 1: Adjustment during army life (Princeton University Press).

Liptak, T. (1958). On the combination of independent tests. Magyar Tud Akad Mat Kutato Int Kozl 3, 171–197.

Logit

combine(pvalues, Logit())

Mudholkar, G.S., and George, E.O. (1977). The Logit Statistic for Combining Probabilities - An Overview (Rochester University NY, Dept of Statistics).

Tippett

combine(pvalues, Tippett())

Tippett, L.H.C. (1931). The Methods of Statistics. An introduction mainly for workers in the biological sciences.

Simes

combine(pvalues, Simes())

Simes, R.J. (1986). An improved Bonferroni procedure for multiple tests of significance. Biometrika 73, 751–754.

Wilkinson

combine(pvalues, Wilkinson(rank))

Wilkinson, B. (1951). A statistical consideration in psychological research. Psychological Bulletin 48, 156.

Minimum of adjusted p-values

combine(pvalues, Minimum(PValueAdjustment()))

Higher criticism

Higher criticism scores and threshold

estimate(pvalues, HigherCriticismScores())
estimate(pvalues, HigherCriticismThreshold())

Donoho, D., and Jin, J. (2008). Higher criticism thresholding: Optimal feature selection when useful features are rare and weak. PNAS 105, 14790–14795.

Klaus, B., and Strimmer, K. (2013). Signal identification for rare and weak features: higher criticism or false discovery rates? Biostatistics 14, 129–143.

Simulation of p-value distributions

Beta Uniform Mixture Model

BetaUniformMixtureModel(π₀, α, β)

Pounds, S., and Morris, S.W. (2003). Estimating the occurrence of false positives and false negatives in microarray studies by approximating and partitioning the empirical distribution of p-values. Bioinformatics 19, 1236–1242.

Installation

The MultipleTesting package is part of the Julia ecosphere and the latest release version can be installed with

pkg> add MultipleTesting

More details on packages and how to manage them can be found in the package section of the Julia documentation.

Feedback and Contributions

Contributions of any kind are very welcome. Please feel free to open pull requests or issues with your questions or ideas.

Package Status

Documentation

DOI

Testing

Coverage

The package uses semantic versioning.