American Statistical Association
New York City
Metropolitan Area Chapter

Memorial Sloan-Kettering Cancer Center
Biostatistics Seminar

Jianqing Fan
Department of Operations Research and Financial Engineering
Princeton University


Estimating false discovery rate for high-dimensional multiple testing problems based on dependent test statistics is very important to scientific discovery and challenging to statistics. It varies from one realization to another. When the covariance matrix is known, Fan, Han and Gu (2012) proposed a principal factor approximation method to deal with an arbitrary dependence structure of test statistics. They derived an approximate formula for false discovery proportion (FDP), which depends on the covariance matrix of the test statistics. In many applications, however, the covariance matrix of test statistics is unknown and has to be estimated. The accuracy of estimated covariance matrix needed for accurately estimating FDP will be unveiled in this talk. In particular, it is shown that when the covariance admits an approximate factor structure, an estimate can be constructed to satisfy the required accuracy. The results will be illustrated by both simulation and real data applications.

This is joint work with Xu Han.

Date: Wednesday, January 16, 2013
Time: 11:00 A.M. - 12:00 P.M.
Location: Memorial Sloan-Kettering Cancer Center
Department of Epidemiology and Biostatistics
307 East 63rd Street
(between First and Second Avenues)
3rd Floor Conference Room
New York, New York
Note: To gain access to the building, please follow the directions by the telephone in the foyer.


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