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From |
"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: strange -multproc- results |

Date |
Wed, 17 Mar 2010 16:26:04 -0500 |

Hi Roger - Thanks for your response - it certainly does help. Al -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Roger Newson Sent: Wednesday, March 17, 2010 3:29 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: strange -multproc- results The paper to consult on these methods is Newson (2003), which gives a survey of all the wierd and wonderful assumptions, formulas, and features of all these procedures. The Simes procedure is less conservative than most, but the Krieger procedure is usually even less conservative, because it estimates the prior probability that a null hypothesis is true. For this to be feasible, the Krieger procedure assumes that the P-values are independent, so consistent estimation can be done. The Storey procedure is probably even less conservative than the Krieger, and is even more complicated. I hope this helps. Best wishes Roger References Newson R. Multiple-test procedures and smile plots. The Stata Journal 2003; 3(2): 100-132. Download from http://www.stata-journal.com/article.html?article=st0035 On 17/03/2010 20:07, Feiveson, Alan H. (JSC-SK311) wrote: > Hi - I have been using -multproc- to control the false discovery rate (FDR) on 27 significance tests. As given in the help file, there are several methods to chose from for controlling the FDR: liu1,liu2,simes,yekutieli, and krieger. > > > method() Step type FWER/FDR Definition or source > userspecified One-step Either pcor() option > bonferroni One-step FWER pcor=puncor/m > sidak One-step FWER pcor=1-(1-puncor)^(1/m) > (or Sidak, 1967) > holm Step-down FWER Holm, 1979 > holland Step-down FWER Holland and Copenhaver, 1987 > liu1 Step-down FDR Benjamini and Liu, 1999a > liu2 Step-down FDR Benjamini and Liu, 1999b > hochberg Step-up FWER Hochberg, 1988 > rom Step-up FWER Rom, 1990 > simes Step-up FDR Benjamini and Hochberg, 1995 (or > Benjamini and Yekutieli, 2001 > (first method)) > yekutieli Step-up FDR Benjamini and Yekutieli, 2001 > (second method) > krieger Step-up FDR Benjamini, Krieger and Yekutieli, 2001 > > So I tried liu1, liu2, simes, yekutieli, and krieger to see what difference it would make with a specified FDR of 0.05. The two liu's and yekutieli were about the same (4 rejections, critical P-value about 0.002. But the simes and krieger were completely different (simes: 14 rejections, critical p-vlaue = 0.026) and (krieger: 15 rejections, critical p-value = 0.051). The latter two look too good to be true, especially the Krieger, where the critical p-value is actually higher than the specified FDR rate. > > Anyone know what's going on here? Am I doing this correctly? What assumptions are there for Krieger, for example, that do not hold for the first three? > > Al Feiveson > > If anyone wants to try it - here's the data: > > h se z pv > 1761.754 419.83 4.196352 .0000271 > .0613758 .0171379 3.58129 .0003419 > .0431283 .0134256 3.212402 .0013163 > .0503242 .0159218 3.160711 .0015738 > .0662939 .0223807 2.962102 .0030555 > .0388915 .0133944 2.903562 .0036894 > .0793423 .0274955 2.885645 .0039061 > .0353006 .0129654 2.722682 .0064754 > 868.2667 323.8542 2.681042 .0073393 > .0491057 .0184865 2.6563 .0079003 > 893.4875 341.7166 2.614703 .0089305 > .0310786 .0131919 2.355878 .018479 > .034885 .0150222 2.322223 .0202209 > .032349 .0144647 2.236412 .0253248 > .0302972 .0139816 2.166937 .0302396 > .0295493 .0165115 1.789618 .0735153 > -.0201654 .0129031 -1.562831 .1180923 > .0255772 .017776 1.438857 .1501909 > .0150236 .0122768 1.223738 .2210511 > .0187261 .0165989 1.128154 .2592548 > -.013579 .0127488 -1.065118 .2868224 > .0142208 .0142817 .9957331 .3193798 > .0099778 .0117025 .8526207 .3938697 > .0071485 .0095379 .7494824 .4535665 > .0130484 .021209 .6152284 .5384039 > -.0067718 .0137157 -.4937261 .6214996 > .0028293 .0090162 .3138045 .7536695 > > . multproc ,method(liu1) pvalue(pv) puncor(.05) > > Method: liu1 > Uncorrected overall critical P-value: .05 > Number of P-values: 27 > Corrected overall critical P-value: .00262649 > Number of rejected P-values: 4 > > . multproc ,method(liu2) pvalue(pv) puncor(.05) > > Method: liu2 > Uncorrected overall critical P-value: .05 > Number of P-values: 27 > Corrected overall critical P-value: .00255198 > Number of rejected P-values: 4 > > . multproc ,method(simes) pvalue(pv) puncor(.05) > > Method: simes > Uncorrected overall critical P-value: .05 > Number of P-values: 27 > Corrected overall critical P-value: .02592593 > Number of rejected P-values: 14 > > . multproc ,method(yekutieli) pvalue(pv) puncor(.05) > > Method: yekutieli > Uncorrected overall critical P-value: .05 > Number of P-values: 27 > Corrected overall critical P-value: .00190351 > Number of rejected P-values: 4 > > . multproc ,method(krieger) pvalue(pv) puncor(.05) > > Method: krieger > Uncorrected overall critical P-value: .05 > Number of P-values: 27 > Corrected overall critical P-value: .05102041 > Number of rejected P-values: 15 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Roger B Newson BSc MSc DPhil Lecturer in Medical Statistics Respiratory Epidemiology and Public Health Group National Heart and Lung Institute Imperial College London Royal Brompton Campus Room 33, Emmanuel Kaye Building 1B Manresa Road London SW3 6LR UNITED KINGDOM Tel: +44 (0)20 7352 8121 ext 3381 Fax: +44 (0)20 7351 8322 Email: r.newson@imperial.ac.uk Web page: http://www.imperial.ac.uk/nhli/r.newson/ Departmental Web page: http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/ Opinions expressed are those of the author, not of the institution. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: strange -multproc- results***From:*"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>

**Re: st: strange -multproc- results***From:*Roger Newson <r.newson@imperial.ac.uk>

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