Weighted Hypothesis Testing

Details Weighted Hypothesis Testing Weighted Hypothesis Testing

2006-04-07

arxiv.org/abs/math/0604172v1

Mathematics

Statistics Theory

Scientific paper

The power of multiple testing procedures can be increased by using weighted p-values (Genovese, Roeder and Wasserman 2005). We derive the optimal weights and we show that the power is remarkably robust to misspecification of these weights. We consider two methods for choosing weights in practice. The first, external weighting, is based on prior information. The second, estimated weighting, uses the data to choose weights.

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