Optimal rates of convergence for estimating the null density and proportion of nonnull effects in large-scale multiple testing

TL;DR

This paper establishes the optimal convergence rates for estimating null density and nonnull proportion in large-scale multiple testing, providing new minimax bounds and a Fourier-based estimator that improves accuracy and implementation.

Contribution

It derives the minimax lower and upper bounds for null density and nonnull proportion estimation, introducing a rate-optimal Fourier-based estimator with practical advantages.

Findings

The estimator achieves minimax rate optimality.

The proposed method improves estimation accuracy over existing techniques.

Numerical results demonstrate practical effectiveness and ease of implementation.

Abstract

An important estimation problem that is closely related to large-scale multiple testing is that of estimating the null density and the proportion of nonnull effects. A few estimators have been introduced in the literature; however, several important problems, including the evaluation of the minimax rate of convergence and the construction of rate-optimal estimators, remain open. In this paper, we consider optimal estimation of the null density and the proportion of nonnull effects. Both minimax lower and upper bounds are derived. The lower bound is established by a two-point testing argument, where at the core is the novel construction of two least favorable marginal densities $f_1$ and $f_2$. The density $f_1$ is heavy tailed both in the spatial and frequency domains and $f_2$ is a perturbation of $f_1$ such that the characteristic functions associated with $f_1$ and $f_2$ match each other in low frequencies. The minimax upper bound is obtained by constructing estimators which rely on the empirical characteristic function and Fourier analysis. The estimator is shown to be minimax rate optimal. Compared to existing methods in the literature, the proposed procedure not only provides more precise estimates of the null density and the proportion of the nonnull effects, but also yields more accurate results when used inside some multiple testing procedures which aim at controlling the False Discovery Rate (FDR). The procedure is easy to implement and numerical results are given.