# Parametric and Nonparametric FDR Estimation Revisited

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1 Parametric and Nonparametric FDR Estimation Revisited Baolin Wu, 1, Zhong Guan 2, and Hongyu Zhao 3, 1 Division of Biostatistics, School of Public Health University of Minnesota, Minneapolis, MN 55455, USA 2 Department of Mathematical Sciences Indiana University South Bend, South Bend, IN 46634, USA 3 Department of Epidemiology and Public Health Yale University, New Haven, CT 06520, USA Summary. Nonparametric and parametric approaches have been proposed to estimate False Discovery Rate under the independent hypothesis testing assumption. The parametric approach has been shown to have better performance than the nonparametric approaches. In this article, we study the nonparametric approaches and quantify the underlying relations between parametric and nonparametric approaches. Our study reveals the conservative nature of the nonparametric approaches, and establishes the connections between the empirical Bayes method and p-value based nonparametric methods. Based on our results, we advocate using parametric approach, or directly modeling the test statistics using the empirical Bayes method. Key words: Microarray; False discovery rate; Multiple hypothesis testing;

2 Multiple comparisons; Simultaneous inference; Empirical Bayes method 1. Introduction For current large-scale genomic and proteomic datasets, there are usually hundreds of thousands of variables but limited sample size, which poses a unique challenge for statistical analysis. Variable selection serves two purposes in this context: for biological interpretation and to reduce the impact of noise. In microarray datasets, we are often interested in identifying differentially expressed genes. It can be formulated as the following hypothesis testing problem H i : µ i = 0 (i = 1,..., m), where m is the total number of genes and µ i is the mean log ratio of the expression levels for the i-th gene. Here we are testing m genes simultaneously, which causes complications for error control. Multiple hypothesis testing for a testing procedure can be summarized in Table 1, where V is the number of false positives and S is the number of true positives. [Table 1 about here.] For the convenience of the following discussion, define h k = I{k-th hypothesis being true null}, r k = I{k-th hypothesis being rejected}, h = (h 1,..., h m ), r = (r 1,..., r m ), v = (r 1 h 1,..., r m h m ). Here we treat h k as random variables. The L 1 norms of these vectors are h = m 0, r = R and v = V. 2

3 In single hypothesis testing, the commonly used approach is to control Type I error at a pre-specified level α 0 and to maximize the power (or minimize Type II error β) at the same time, α 0 = Pr(r k = 1 h k = 1), β = Pr(r k = 0 h k = 0). When we do multiple hypothesis testing we want to control the overall Type I error to be very small. There are different definitions for overall Type I error in multiple hypothesis testing. A natural extension of Type I error to multiple hypothesis testing is Family-Wise-Error-Rate (FWER), which is the probability of identifying any false positives, i.e. FWER = Pr(V > 0). (1) The most commonly used approach for FWER control is Bonferroni correction, which adjusts individual significance levels to be α 0 /m. Generally, Bonferroni correction is conservative, especially in the context of genomic and proteomic datasets where m is very large. There have been some developments in using resampling methods to improve power while controlling FWER (Westfall and Young, 1993; Ge et al., 2003). False Discovery Rate (FDR), a philosophically different approach, was first proposed by Benjamini and Hochberg (1995). It is defined as E (V/R). When R = 0, there is no discovery, we define 0/0 = 0. We can also write FDR as ( V ) ( V ) FDR = E R R > 0 Pr(R > 0) = E R V > 0 Pr(V > 0). (2) Storey (2002b) defined pfdr as the following conditional expectation ( V ) pfdr = E R R > 0 = FDR Pr(R > 0). (3) 3

4 Clearly, FDR FWER = Pr(V > 0) = E ( FDR, V V > 0) R so FWER is always a stronger control than FDR. We can formally define the FDR estimation problem as follows: DATA: m test statistics, (T 1,..., T m ), one for each hypothesis H k, where k = 1,, m. GOAL: Develop testing procedure and estimate the expectation E (V/R), where V and R are defined in Table 1. Here we assume that (T 1,..., T m ) are m i.i.d. random variables. First define π 0 = Pr(h k = 1), α 0 = Pr(r k = 1 h k = 1), α = Pr(r k = 1), (4) where π 0 is the proportion of true null hypotheses, α 0 is the rejection probability of the true null hypothesis, and α is the marginal rejection probability. Under the i.i.d. assumption, we can have the following intuitive formula for pfdr and FDR (Storey, 2002a; Storey et al., 2004; Benjamini et al., 2001) FDR = Pr(h k = 1 r k = 1) = π 0α 0 α, pfdr = π 0α 0 { } 1 (1 α) m 1. (5) α So the pfdr and FDR estimation problems just transform into our familiar framework of estimating parameters π 0, α 0, and α. Previous research on FDR control includes the nonparametric method of Storey (2002a) and parametric method of Guan et al. (2004). In this paper we further study the operating characteristics of general p-value based 4

5 nonparametric methods. Our study reveals the conservative nature of the nonparametric approaches, and we further theoretically quantify the relations between parametric and nonparametric approaches. The basic idea of the nonparametric approach in Storey (2002a) is to use the p-values (p 1,, p m ) as the test statistics. Note that, usually, under the true null hypothesis, p k U[0, 1]. When the rejection region is chosen as Γ = [0, τ], we have ˆα = F m (τ), ˆα 0 = τ, ˆπ 0 (λ) = 1 F m(λ) 1 λ, (6) where F m is the empirical distribution function of the observed p-values and λ [0, 1]. The optimal λ can be chosen by minimizing the MSE {ˆπ 0 (λ) }. In the parametric approach of Guan et al. (2004), two parametric functions are introduced to model the distribution of the test statistic: F 0 (, θ 0 ) for the null distribution and F 1 (, θ 1 ) for the alternative distribution. The marginal distribution is F (, π 0, θ 0, θ 1 ) = π 0 F 0 (, θ 0 ) + (1 π 0 )F 1 (, θ 1 ). The Expectation-Maximization (EM) algorithm (Dempster et al., 1977) can be used to obtain MLEs of the parameters π 0 and θ 1. Then for any given rejection region Γ, we have ˆα = F (Γ, ˆπ 0, θ 0, ˆθ 1 ) and ˆα 0 = F 0 (Γ, θ 0 ). (7) For simplicity we have used (F, F 0, F 1 ) to represent both the cumulative distribution functions and the corresponding probability measures. 2. Rejection Region Construction and FDR Modeling For the convenience of the following discussion, we write f 0 ( ) for the test statistic density under the null hypothesis and f 1 ( ) for that of the alternative 5

6 hypothesis. In single hypothesis testing, we focus on Type I error and power, α 0 = F 0 (Γ) and 1 β = F 1 (Γ), where Γ is the rejection region. The central dogma of the traditional single hypothesis testing is to control Type I error α 0 under a pre-specified level and at the same time try to maximize the power 1 β. In practice we try to construct rejection regions which will have maximum power. According to the Neyman-Pearson Lemma (Neyman and Pearson, 1933), this can be achieved using the likelihood ratio (LR) statistic LR(x) = f 1 (x)/f 0 (x) constructed from the observed data, from which we can construct the following uniformly most powerful LR rejection region 2.1 P-value Calculation { x : f } 1(x) f 0 (x) > η. (8) P-value is a well-accepted significance measure for rejecting/accepting a hypothesis, and in some papers discussing multiple comparisons (Benjamini and Hochberg, 1995; Benjamini and Yekutieli, 2001; Ge et al., 2003; Storey, 2002b), p-value is used as a test statistic. The distribution of the p-values can be estimated using the empirical distribution function of the observed p-values. The p-value densities are closely related to the distributions of the test statistics and the construction of the rejection region Γ. For p-values we have the following results (see the appendix for proofs, similar results appeared in Sackrowitz and Samuel-Cahn (1999)). Lemma 1. For hypothesis test H 0 versus H a with test statistic X, assume X has density f 0 (x) under H 0 and f 1 (x) under H a, and let P 0 and P 1 be the corresponding measures. Suppose that the rejection regions are con- 6

7 structed as {x : W (x) > η}, where W ( ) is a measurable function. Let Q k (x), q k (x), k = 0, 1 be the distribution and density functions of W (X) under H 0 and H a, respectively. Furthermore assume that Q 0 (x) is continuous and strictly increasing. For an observed test statistic value x 0, the p-value can be calculated as p = P 0 {x : W (x) > W (x 0 )} = 1 Q 0 {W (x 0 )}. (9) Under H 0, the p-value has a uniform density, g 0 (p) = I{p [0, 1]}. Under H a, the p-value has the following density and distribution functions: where g 1 (p) = q 1{Q 1 0 (1 p)} q 0 {Q 1 0 (1 p)}, G 1(p) = 1 Q 1 {Q 1 0 (1 p)}, (10) and hence g 1 (p) inf x {f 1 (x)/f 0 (x)}. q 1 (η) q 0 (η) = lim P 1 {x : η < W (x) η 1 } η 1 η P 0 {x : η < W (x) η 1 }, (11) Theorem 1. For the uniformly most powerful LR test (8), where the rejection region is constructed by we have { x : LR(x) = f } 1(x) f 0 (x) > η, g 1 (p) = Q 1 0 (1 p). (12) Therefore g 1 (p) is a non-increasing function in the interval [0, 1]. Furthermore we have min g 1(p) = g 1 (1) = Q 1 f 1 (x) 0 (0) = inf p [0,1] x f 0 (x). (13) 7

8 This theorem reveals that the p-value based on the LR test region has a monotone decreasing density. In the multiple hypothesis testing, if we assume p-values from individual testings follow one common distribution, nonparametric estimation of π 0 can be based on the p-value density (to be discussed in section 2.2). Theorem 1 then justifies the common practice of using the p-value density at the boundary 1 to approximate π 0. For rejection regions not based on LR test region, it is possible to observe non-monotone p- value density, and according to Lemma 1, the least conservative π 0 estimation will be the minimum of the p-value density, which is not necessarily at the boundary Smoothing Nonparametric Approach Suppose we use p-value as the test statistic. Its distribution is g(p) = π 0 + (1 π 0 )g 1 (p), where π 0 is the proportion of true null hypotheses and g 1 (p) is the density for the p-values under the alternative hypothesis. In the nonparametric approach, the key is the estimation of π 0. We propose the following least conservative estimation for π 0 min g(p) = π 0 + (1 π 0 ) min g 1 (p). (14) p p The simplest density estimation method is the histogram approach, ĝ(p) = {F m (λ 2 ) F m (λ 1 )}/(λ 2 λ 1 ), λ 1 p λ 2. The nonparametric estimator ˆπ 0 (λ) in (6) is just the histogram density estimation over (λ, 1], and implicitly assumes that g(1) achieves the minimum value. We can also apply some other smoothing methods, e.g. kernel density estimations. The poor performance of the nonparametric approach is mainly because ˆπ 0 (λ) is only based on those p-values over [λ, 1). Note that when λ is small, ˆπ 0 (λ) as an estimator itself is very stable. In principle we could borrow 8

9 strength from small λ to extrapolate ˆπ 0 (1). This motivates us to smooth ˆπ 0 (λ) or ĝ(λ) as functions of λ. As discussed previously, it is reasonable to assume g 1 (p) is non-increasing. The theoretical value of ˆπ 0 (λ) is π 0 (λ) = 1 F (λ) 1 λ = π 0 + (1 π 0 ) 1 λ g 1(p)dp 1 λ. (15) We have dπ 0 (λ) dλ = (1 π 0 ) 1 λ g 1(p)dp (1 λ)g 1 (λ) (1 λ) 2 0, so π 0 (λ) and g(λ) = π 0 + (1 π 0 )g 1 (λ) are both non-increasing functions of λ. Hence, monotone smoothing methods can be used for extrapolation. Furthermore, we have π 0 (1) = g(1) = π 0 + (1 π 0 )g 1 (1). (16) In the following applications, we used the constrained B-splines (He and Ng, 1999) for monotone extrapolation. 2.3 Model Test Statistic vs. P-values Although the p-value has a uniform distribution under the null hypothesis, its alternative distribution is often unknown. An empirical Bayes method (Efron et al., 2001; Efron and Tibshirani, 2002; Efron, 2003) proposed to use the posterior probability of being different, ˆπ 1 (x) = 1 π 0 f 0 (x) f(x), (17) as a test statistic, and it was pointed out that π 0 is not identifiable for the nonparametric approach. In addition, Efron (2003) proposed the most conservative estimation for π 1 = 1 π 0 : π 1,min = 1 inf x {f(x)/f 0 (x)}, and 9

10 hence, the least conservative estimate for π 0 : π 0,max = inf x {f(x)/f 0 (x)}. Under the i.i.d. assumption, we have π 1,min = π 1 π 1 inf x f 1 (x) f 0 (x), π f 1 (x) 0,max = π 0 + π 1 inf x f 0 (x). (18) According to (8), this empirical Bayes method is equivalent to the nonparametric version of the LR based test, where densities f 0 (x) and f(x) are estimated from the observed data. Furthermore, according to Lemma 1 and Theorem 1, this is equivalent to the p-value based nonparametric FDR estimation where p-values are obtained using the LR statistics. 3. Simulation Studies 3.1 Finite Normal Mixture Example Here we discuss the parametric and nonparametric approaches for finite normal mixture distributions. Suppose T i H i = 1 N(0, 1); T i H i = 0 k π k N(µ k, 1), where π k (0, 1), k π k = 1 and µ k 0. We have LR(x) = f 1 (x)/f 0 (x) = k π k exp ( xµ k µ 2 k /2). 1. If all the µ k are positive (negative), then inf x LR(x) = 0, and the uniformly most powerful rejection region is {x x 0 } ({x x 0 }). Therefore the nonparametric π 0 estimate can approach the true value. 2. If i, j, µ i < 0, µ j > 0, then it is obvious that inf x LR(x) > 0, and f 1 (0)/f 0 (0) = k π k exp ( µ 2 k /2) > 0. Under this setting, the LR test rejection region { LR(x) > η } is equivalent to { x > x 0 }, if and only if all the π k and µ k satisfy the following condition (see appendix for 10

11 proof) i, j, st. µ i + µ j = 0 and π i = π j. (19) Furthermore arg min x LR(x) = 0 if and only if π k µ k exp ( µ 2 k/2 ) = 0. (20) This is because k dlr(x) dx = k π k µ k exp ( xµ k µ 2 k/2 ), d 2 LR(x) dx 2 = k π k µ 2 k exp ( xµ k µ 2 k/2 ) > 0, so LR(x) is strictly convex. In particular, condition (19) is a special case of (20). Hence for the commonly used symmetric region the estimate of π 0 will approach π 0 + (1 π 0 )f 1 (0)/f 0 (0). It will be larger than the estimate of LR test region π 0 + (1 π 0 ) min x {f 1 (x)/f 0 (x)}, unless the condition (20) is met. 3.2 Simulation Consider the following setup for the finite normal mixture models, π 1 = 0.2, µ 1 = 2, π 2 = 0.8, µ 2 = 1, with f 1 (x) = 2 k=1 π kn(µ k, 1). Suppose we conduct m = 1000 hypothesis tests with π 0 = 0.2 and f 0 (x) = N(0, 1). The parametric normal mixture model, π 0 N(0, 1) + (1 π 0 ){π 1 N(µ 1, 1) + π 2 N(µ 2, 1)} is fitted to obtain π 0 s MLE ˆπ pm. P-values can be calculated as p = 2Φ( x ), then we can get nonparametric estimate ˆπ np of π 0 (Storey, 2002b). For the empirical Bayes method, we first estimate the density of the test statistic ˆf(x), then ˆπ eb = inf x ˆf(x)/f0 (x), where f 0 (x) = φ(x). Figure 1 plots the LR and the symmetric rejection regions as functions of the rejection probability α 0 (4). Also shown in the plot are the p-value 11

12 densities for the two rejection regions. For symmetric rejection regions, the minimum p-value density is π np = π 0 + (1 π 0 )LR(0) = 0.61, compared to π eb = π 0 + (1 π 0 ) min x LR(x) = 0.48 for the LR rejection regions. They both over-estimate the true value π 0 = 0.2. In Figure 1, boxplots are used to summarize the simulation results. We can clearly see that the simulation results agree with the theoretical results very well. [Figure 1 about here.] 4. Application to Microarray Data 4.1 Leukemia gene expression data We apply the proposed FDR estimation procedure to the leukemia gene expression data reported in Golub et al. (1999), where mrna levels of 7129 genes were measured for n = 72 patients, among them n 1 = 47 patients had Acute Lymphoblastic Leukemia (ALL) and n 2 = 25 patients had Acute Myeloid Leukemia (AML). The goal is to identify differentially expressed genes between these two groups. The gene expression data can be summarized in a matrix X = (x ij ), where (x i,1,..., x i,n1 ) are for ALL patients and (x i,n1 +1,..., x i,n ) for AML patients. We follow the same preprocessing procedure as Dudoit et al. (2002). We first cut gene expression levels between 100 and 16000, then keep the i-th gene if it satisfies two conditions: max j x ij /min j x ij > 5 and max j x ij min j x ij > 500. After this filtering m = 3571 genes are left. We then take logarithm of their measured intensities and calculate two sample t-test statistics T i = ( x i1 x i2 )/ ˆσ 2 1/n 1 + ˆσ 2 2/n 2, where x i1 = n 1 j=1 x ij/n 1, x i2 = n j=n 1 +1 x ij/n 2, ˆσ 2 1 = n 1 j=1 (x ij x i1 ) 2 /(n 1 1) and ˆσ 2 2 = n j=n 1 +1 (x ij x i2 ) 2 /(n 2 1). 12

13 For this relatively large sample size (n = 72), we know that T i asymptotically follows a normal distribution with variance 1. We use normal mixture model to fit the t-statistics by proposing the following three-component model to model genes Without Difference: standard normal distribution N(µ 0 = 0, 1); Up-Regulated: normal mixture with positive means, N (µ U > 0, σ 2 U = 1); Down-Regulated: normal mixture with negative means, N (µ L < 0, σ 2 L = 1). The mixture distribution can be written as k π kn(µ k, 1), where k π k = 1. We can use the Bayesian Information Criterion (BIC) to select the number of components, BIC(p) = 2 log Pr ( Data ˆθ ) p log(m), where ˆθ is a vector representing the maximum likelihood estimates of the parameters, and p is the number of parameters in the model (Fraley and Raftery, 2002). In our model setup p = 2G 2, where G is the number of normal distributions (we know the mean for the first component and there is one constraint on the proportions). For G = 1, 2,..., 12, we use the EM algorithm to fit the mixture models and select G = arg max G BIC(p). The maximum of BIC was achieved at G = 8. The corresponding parameter estimates are ˆπ 0 = 0.35, with three positive components (ˆπU, ˆθ U ) = { (0.214, 2.42), (0.045, 5.22), (0.003, 9.57) }, and four negative components (ˆπL, ˆθ L ) = { (0.306, 1.57), (0.068, 3.88), (0.012, 6.82), (0.002, 11.64) }. 13

14 Figure 2 compares the empirical distribution function (ECDF) to the mixture model fitting, and the quantile-quantile plot for the test statistics. Overall we can see the mixture model provides a reasonable fit. Figure 2 also displays the FDR estimations for this dataset, where we choose the rejection region as { T > t 0 }. The maximum value of FDR is ˆπ 0 = 0.35 when t 0 = 0, where every gene is declared as significant. Also shown in the figure is the number of significant genes vs. FDR estimations. When FDR = ˆπ 0 all genes are declared as significant. [Figure 2 about here.] We can also apply the nonparametric approach to this leukemia gene expression data. We use permutation to get the p-values for the t-statistics based on B = 1000 permutations. The histogram for the permutation p- values is plotted in Figure 3, also shown is the monotone smoothing estimation of π 0 based on the constrained B-splines (He and Ng, 1999). The extrapolated value at boundary is ˆπ 0 = [Figure 3 about here.] There is a difference between parametric and nonparametric estimation of π 0 (0.35 vs ). Suppose that the fitted mixture model is correct, the least conservative nonparametric estimation for π 0 is min λ [0,1] g(p) = g(1) = π 0 +(1 π 0 )LR(0) = 0.451, very close to If we use the empirical Bayes method, the least conservative estimate is π 0 + (1 π 0 ) min x LR(x) = π 0 + (1 π 0 )LR(0.41) = Figure 3 compares the permutation p-value density and the theoretical density from the fitted mixture models. They agree with each other very well. 14

15 4.2 Colon cancer gene expression data The colon cancer gene expression data contained the expression values of 2000 genes from 40 tumor and 22 normal colon tissue samples reported by Alon et al. (1999). We apply the normal mixture model to estimate FDR for this data. With BIC we select 6 normal components with mean and probability estimations being ˆπ 0 = 0.408, (ˆπ L, ˆθ L ) = {(0.073, 3.72), (0.193, 1.81)}, (ˆπ U, ˆθ U ) = {(0.247, 1.37), (0.074, 3.36), (0.005, 6.38)}. Figure 4 shows some model fitting diagnostics and the FDR estimation for the colon cancer data. Using permutations we can estimate the p-value for each gene, which can be compared to the parametric approach. Figure 5 shows the p-value density from the permutation and normal mixture model. They agree with each other very well. We have the parametric estimation ˆπ pm = 0.408, the limit value of the nonparametric estimation is ˆπ pm + (1 ˆπ pm )f 1 (0)/f 0 (0) = [Figure 4 about here.] [Figure 5 about here.] 5. Impact of Dependence among Genes Previous discussions were based on the assumption that the genes are independent, which enables us to pool the information across all genes to obtain estimations. In gene expression data it is more practical to assume that genes are locally dependent, e.g. genes in a pathway are more likely to interact with each other and affect the system function in a synergistic way. Here we carry 15

16 out some simulation studies to evaluate the robustness of the proposed model to estimate FDR in the presence of dependence among genes. Suppose we have m genes, which are divided into K blocks with each consisting of m/k genes. We assume independence between blocks, and constant correlation ρ between genes within each block. π 0 proportion of the genes are simulated from N(0, 1); 1 π 0 proportion of the genes are simulated from a mixture of equal proportion of up/down-regulated genes with N(µ 1, 1) and N(µ 2, 1). We will investigate the effects of K and ρ on the FDR estimations. For simplicity of simulation, we assume that we know there are two underlying components for differentially expressed genes. To set reasonable values for µ j and ρ, we can use empirical values from previous two gene expression data. The averages of the positive/negative means for the leukemia gene expression data are θ k >0 π kθ k θ θ k >0 π = 2.98, k <0 π kθ k k θ k <0 π k = For the colon cancer gene expression data, they are 1.91, Therefore we choose µ 1 = 2, µ 2 = 2 in the simulation. To set values for ρ, we first cluster all the genes into groups with approximately 50 genes per group. For each gene we can calculate the two-sample t-statistic. Within each group, 300 bootstrap samples are used to approximate the mean correlation of the t-statistics between genes. Finally the mean correlation is averaged over all the groups to get an average ρ. For the leukemia gene expression data, ρ = 0.32 and ρ = 0.49 for the colon cancer data. We use ρ = 0.3, 0.5 in the simulations, and ρ = 0.1, 0.9 are included as 16

17 two more extreme situations, and the indepndence with ρ = 0 is also included as a comparison reference. Figure 7 summarizes the simulation results for π 0 and FDR from m = 3500, π 0 = 0.35, K = 35, 70, 140 and ρ = 0.1, 0.3, 0.5, 0.9. Overall we can see that the estimate of π 0 has very small bias. And as expected the larger the dependence, the more variable the estimate. The cluster size has a negligible effect when ρ is relatively small. Overall the variation of the π 0 estimation is increased with increasing number of local gene clusters. The FDR estimation is mainly affected by the π 0 estimation, its pattern is very similar to π 0. [Figure 6 about here.] 6. Discussion [Figure 7 about here.] The proposed finite normal mixture model is not identifiable with respect to the ordering of the components and to overfitting. We can eliminate this identifiability problem simply by posing constraints on the ordering of the components (Yakowitz and Spragins, 1968). For finite normal mixture models, it is possible that EM algorithm may converge to a local maximum. We used multiple random starting points to select the best model fitting among all the starting points, and this procedure gave us reasonably good estimators in our simulations and microarray applications. We are in the process of developing an R package for the proposed methods. The R package and the documentations on the implementation details will be posted on the web very soon. 17

18 As the simulation and application examples illustrate, the parametric approach is preferred when possible, as it will give unbiased estimates and is more accurate and efficient. When using the nonparametric approach, the empirical Bayesian approach models the test statistics directly and is equivalent to the likelihood ratio based method. As we do not assume distribution form for the test statistics under the alternative hypothesis, the use of nonparametric approach often can only estimate an upper bound for π 0, the proportion of true null genes. The proposed model essentially assumes the independence among genes. Through simulations we have found that the proposed model can still produce very good estimate for the local dependence situation. But it is possible that there are more complicated examples under which ignoring dependence among genes may seriously under/over-estimate the FDR. More research will be conducted in the future on FDR estimation incorporating the dependence among genes. Acknowledgements We are very grateful to the Associate Editor and the referee for their helpful suggestions. This research was supported in part by NIH grant GM and NSF grant DMS and a startup fund from the Division of Biostatistics, University of Minnesota. References Alon, U., Barkai, N., Notterman, D. A., Gish, K., Ybarra, S., Mack, D. and Levine, A. J. (1999). Broad patterns of gene expression revealed by 18

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20 Ge, Y., Dudoit, S. and Speed, T. P. (2003). Resampling-based Multiple Testing for Microarray Data Analysis. Test 12, Golub, T. R., Slonim, D. K., Tamayo, P., Huard, C., Gaasenbeek, M., Mesirov, J. P., Coller, H., Loh, M. L., Downing, J. R., Caligiuri, M. A., Bloomfield, C. D. and Lander, E. S. (1999). Molecular Classification of Cancer: Class Discovery and Class Prediction by Gene Expression Monitoring. Science 286, Guan, Z., Wu, B. and Zhao, H. (2004). Model-based approach to fdr estimation. Technical Report. He, X. and Ng, P. (1999). Cobs: Qualitatively constrained smoothing via linear programming. Computational Statistics 14, Neyman, J. and Pearson, E. S. (1933). On the problem of the most efficient tests of statistical hypotheses. Philosophical Transactions of the Royal Society of London. Series A, Containing Papers of a Mathematical or Physical Character 231, Sackrowitz, H. and Samuel-Cahn, E. (1999). P-values as random variables: expected p-values. American Statistician 53, Storey, J., Taylor, J. 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 (Methodological) 66, Storey, J. D. (2002a). A direct approach to false discovery rates. Journal of the Royal Statistical Society. Series B (Methodological) 64, Storey, J. D. (2002b). False Discovery Rates: Theory and Applications to DNA Microarrays. PhD thesis, Stanford University. 20

21 Westfall, P. and Young, S. (1993). Resampling-based multiple testing: Examples and methods for p-value adjustment. Wiley. Yakowitz, S. J. and Spragins, J. D. (1968). On the identifiability of finite mixtures. The Annals of Mathematical Statistics 39, Appendix Proof of Lemma 1 Consider a p-value p 0 = 1 Q 0 {W (x 0 )}, we have W (x 0 ) = Q 1 0 (1 p 0 ). Under H 0 Pr(p p 0 ) = P 0 [x : 1 Q 0 {W (x)} p 0 ] = P 0 {x : W (x) W (x 0 )} = 1 Q 0 {W (x 0 )} = p 0. Under H a Pr(p p 0 ) = P 1 [x : 1 Q 0 {W (x)} p 0 ] = P 1 {x : W (x) W (x 0 )} = 1 Q 1 {Q 1 0 (1 p 0 )}. And hence g 1 (p) = dg 1(p) dp = dq 1{Q 1 0 (1 p)} dp According to the definitions of q 0 ( ) and q 1 ( ), we have q 0 (η) = lim η1 η Therefore P 0 {x : η < W (x) η 1 }, q 1 (η) = lim η 1 η η1 η q 1 (η) q 0 (η) = lim P 1 {x : η < W (x) η 1 } η 1 η P 0 {x : η < W (x) η 1 }. = q 1{Q 1 0 (1 p)} q 0 {Q 1 0 (1 p)}. P 1 {x : η < W (x) η 1 }. η 1 η Since W (x) is a measurable function, the rejection region Γ = {x : η < W (x) η 1 } is measurable. We have P 1 (Γ) = f 1 (x)dx = f 0 (x) f 1(x) f 0 (x) dx Γ and hence g 1 (p) inf x {f 1 (x)/f 0 (x)}. Γ 21 Γ f 0 (x)inf x f 1 (x) f 0 (x) dx = P 0(Γ)inf x f 1 (x) f 0 (x),

22 Proof of Theorem 1 By definition LR(x) = f 1 (x)/f 0 (x), let Γ = {x : η < LR(x) η 1 }, we have P 1 (Γ) = Γ f 1 (x)dx Γ ηf 0 (x)dx = ηp 0 (Γ), similarly we have P 1 (Γ) η 1 P 0 (Γ), so q 1 (η)/q 0 (η) = η and g 1 (p) = q 1{Q 1 0 (1 p)} q 0 {Q 1 0 (1 p)} = Q 1 0 (1 p). Proof of (19) We have shown that LR(x) is a strictly convex function. If i, j, s.t. µ i + µ j = 0 and π i = π j, it is obvious that LR(x) is a symmetric function about zero. Hence, { LR(x) = f 1 (x)/f 0 (x) > η } = { x > x 0 }, where η = LR(x 0 ). Now suppose { LR(x) = f 1 (x)/f 0 (x) > η } = { x > x 0 }, we have x, LR(x) = LR( x). Suppose max j µ j = µ J > 0, we have LR(x) exp( xµ J ) = LR( x) exp( xµ J ), i.e. L 1 = L 2, where L 1 = π J exp( µ 2 J/2) + k J π k exp { x(µ k µ J ) µ 2 k/2 }, L 2 = π J exp( 2xµ J µ 2 J/2) + k J π k exp { x(µ k + µ J ) µ 2 k/2 }. We know that lim x L 1 = π J exp( µ 2 J /2). So there must exist an K, s.t. π K = π J and µ K + µ J = 0, which will make lim x L 2 = lim x L 1. From LR(x) π J exp(xµ J µ 2 J /2) = LR( x) π K exp( xµ K µ 2 K /2), we can prove the second largest µ k satisfies the symmetric condition. So sequentially we can prove that i, j, s.t. µ i + µ j = 0 and π i = π j. 22

23 Figure 1. Simulation study: the top two plots compare the LR and symmetric rejection regions; the bottom one compares the parametric (pm), empirical bayes (eb) and nonparametric (np) estimations. Rejection Threshold LR Symmetric density Symmetric LR α p value π^pm π^eb π^np 0 π 0 = 0.2 π eb = 0.48 π np =

24 Figure 2. 3-Component Model Fitting for the Leukemia Data and FDR estimation Distribution Function Estimation QQ Plot ECDF 3 Component Model Test Statistics Quantiles Test Statistics FDR π 0 Number of Significant Genes Threshold Γ rejection region { T Γ} π 0 FDR 24

25 Figure 3. Nonparametric vs. Parametric Estimation for the Leukemia data π^0(λ) Nonparametric Smoothing π 0 Esimation Density permutation density mixture density λ p value 25

26 Figure 4. 3-Component Model Fitting for the Colon cancer Data and FDR estimation Distribution Function Estimation QQ Plot ECDF 3 Component Model Quantiles Test Statistics Test Statistics FDR π 0 Number of Significant Genes Threshold Γ rejection region { T Γ} π 0 FDR 26

27 Figure 5. Nonparametric vs. Parametric Estimation for the Colon cancer data π 0 (λ) parametric estimation nonparametric estimation density permutation density mixture density λ p value 27

28 Figure 6. FDR estimation under local dependence: there are 13 simulations based on the combination of 5 different ρs and 3 different Ks, which are labeled at the bottom of each plot. The boxplot are based on 100 replicates, and the horizontal dashed black line represents the true value estimated from 100 replicates. We can see that the pattern of FDR estimation are very similar to π 0 : the bigger the correlation ρ and the number of local clusters K, the more variable the estimations. But overall we can see that the proposed model gives very good estimates, even when the local correlation is as large as 0.5. π FDR FDR ρ= K= ρ= K= FDR ρ= K= ρ= K=

29 Figure 7. Bias and variance analysis for FDR estimation under local dependence: there are 13 simulations based on the combination of 5 different ρs and 3 different Ks, which are labeled at the bottom of each plot. Shown in the plot are the ratio of absolute bias/standard error and the true means. The pattern is pretty consistent: larger ρ and K will increase the bias and variance; overall the bias is very small compared to the variance. Under local dependence, the proposed approach gives reasonable estimates even when the local correlation is as high as 0.5. π^ sd/mean bias /mean ρ= K= FDR ρ= K= FDR ρ= K= FDR ρ= K=

30 Table 1 Possible Outcomes of Multiple Hypothesis Testing Accepted Rejected Total True Null U V m 0 True Alternative T S m 1 Total N R m 30

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