Data Reuse and the Long Shadow of Error: Splitting, Subsampling, and Prospectively Managing Inferential Errors

TL;DR

This paper investigates subsampling methods for independent hypothesis testing on shared datasets, establishing their asymptotic properties and demonstrating their effectiveness in controlling error dependence with minimal coordination.

Contribution

It introduces a formal framework for subsampling techniques to manage dependence in multiple testing, including asymptotic normality results and optimality of data splitting.

Findings

Data overlap controls dependence in multiple tests.

Subsampling can achieve near-independent error control.

Bounded EVR decreases quadratically with the data fraction r.

Abstract

When multiple investigators analyze a common dataset, the data reuse induces dependence across testing procedures, affecting the distribution of errors. Existing techniques of managing dependent tests require either cross-study coordination or post-hoc correction. These methods do not apply to the current practice of uncoordinated groups of researchers independently evaluating hypotheses on a shared dataset. We investigate the use of subsampling techniques implemented at the level of individual investigators to remedy dependence with minimal coordination. To this end, we establish the asymptotic joint normality of test statistics for the class of asymptotically linear test statistics, decomposing the covariance matrix as the product of a data overlap term and a test statistic association term. This decomposition shows that controlling data overlap is sufficient to control dependence, which we formalize through the notion of Expected Variance Ratio. This enables the closed form derivation of the variance of the joint rejection region under the global null as a function of pairwise correlations of test statistics. We adopt mean-variance portfolio theory to measure risk, defining the Expected Variance Ratio (EVR) as the ratio of the expected variance of the Type I error count to the independent baseline. We show that data splitting is asymptotically optimal among rules that ensure exact independence. We then use concentration inequalities to establish that subsampling techniques implementable by individual investigators can ensure an EVR close to $1$. Finally, we show that such subsampling techniques are able to simultaneously perform a number of tests while ensuring sufficient power and that the bounded EVR is $O\left(\frac{1}{r^2}\right)$ compared to data splitting's $O\left(\frac{1}{r}\right)$, where $r$ is the per-statistic fraction of data required.