Cauchy combination test: a powerful test with analytic p-value calculation under arbitrary dependency structures

TL;DR

This paper introduces a new Cauchy-based p-value combination test that is computationally simple, accurate under arbitrary dependencies, and highly powerful for large-scale, sparse data analyses.

Contribution

The paper proposes a novel Cauchy combination test with a simple form and proven accuracy under arbitrary dependency, improving p-value calculation and power in massive data contexts.

Findings

Accurate p-value approximation under arbitrary dependency structures.

High power against sparse alternatives in simulations.

Effective application to genome-wide association studies.

Abstract

Combining individual p-values to aggregate multiple small effects has a long-standing interest in statistics, dating back to the classic Fisher's combination test. In modern large-scale data analysis, correlation and sparsity are common features and efficient computation is a necessary requirement for dealing with massive data. To overcome these challenges, we propose a new test that takes advantage of the Cauchy distribution. Our test statistic has a very simple form and is defined as a weighted sum of Cauchy transformation of individual p-values. We prove a non-asymptotic result that the tail of the null distribution of our proposed test statistic can be well approximated by a Cauchy distribution under arbitrary dependency structures. Based on this theoretical result, the p-value calculation of our proposed test is not only accurate, but also as simple as the classic z-test or t-test, making our test well suited for analyzing massive data. We further show that the power of the proposed test is asymptotically optimal in a strong sparsity setting. Extensive simulations demonstrate that the proposed test has both strong power against sparse alternatives and a good accuracy with respect to p-value calculations, especially for very small p-values. The proposed test has also been applied to a genome-wide association study of Crohn's disease and compared with several existing tests.