Management Information Systems Commons^™

Cost-Aware Generalized Α-Investing For Multiple Hypothesis Testing, Thomas Cook, Harsh Vardhan Dubey, Ji Ah Lee, Guangyu Zhu, Tingting Zhao, Patrick Flaherty

Information Systems and Analytics Department Faculty Journal Articles

We consider the problem of sequential multiple hypothesis testing with nontrivial data collection cost. This problem appears, for example, when conducting biological experiments to identify differentially expressed genes in a disease process. This work builds on the generalized α-investing framework that enables control of the false discovery rate in a sequential testing setting. We make a theoretical analysis of the long term asymptotic behavior of α-wealth which motivates a consideration of sample size in the α-investing decision rule. Using the game theoretic principle of indifference, we construct a decision rule that optimizes the expected return (ERO) of α-wealth and provides …