On spike and slab empirical Bayes multiple testing

08/29/2018

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by   Ismaël Castillo, et al.

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This paper explores a connection between empirical Bayes posterior distributions and false discovery rate (FDR) control. In the Gaussian sequence model, this work shows that empirical Bayes-calibrated spike and slab posterior distributions allow a correct FDR control under sparsity. Doing so, it offers a frequentist theoretical validation of empirical Bayes methods in the context of multiple testing. Our theoretical results are illustrated with numerical experiments.