SCORE: A Unified Framework for Overshoot Refund in Online FDR Control

TL;DR

This paper introduces SCORE, a framework that enhances online FDR control procedures by reclaiming evidence from overshoot, leading to more powerful testing while maintaining strict FDR guarantees, validated through simulations and real data.

Contribution

The paper proposes a novel overshoot refund framework for online FDR procedures, improving power and enabling retroactive alpha-wealth updates while preserving FDR control.

Findings

SCORE-enhanced procedures outperform original methods in simulations.

The framework maintains finite-sample FDR control.

Retroactive updates allow more aggressive testing strategies.

Abstract

We propose a unified framework to enhance the power of online multiple hypothesis testing procedures based on $e$-values. While $e$-value-based methods offer robust online False Discovery Rate (FDR) control under minimal assumptions, they often suffer from power loss by discarding evidence that exceeds the rejection threshold. We address this inefficiency via the \textbf{S}equential \textbf{C}ontrol with \textbf{O}vershoot \textbf{R}efund for \textbf{E}-values (SCORE) framework, which leverages the inequality $\mathbb{I}(y \ge 1) \le y - (y-1)_+$ to reclaim this otherwise ``wasted'' evidence. This simple yet powerful insight yields a unified principle for improving a broad class of online testing algorithms. Building on this framework, we develop SCORE-enhanced versions of several state-of-the-art procedures, including SCORE-LOND, SCORE-LORD, and SCORE-SAFFRON, all of which strictly dominate their original counterparts while preserving valid finite-sample FDR control. Furthermore, under mild assumptions, SCORE permits retroactive updates of alpha-wealth by using the latest decision twice: first to determine its reward or loss, and then to refresh past wealth. Such a mechanism enables more aggressive testing strategies while maintaining valid FDR control, thereby further improving statistical power. The effectiveness of the proposed methods is validated through extensive simulation and real-data experiments.