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Journal Articles Annals of Statistics Year : 2010

Some non-asymptotic results on resampling in high dimension, I: Confidence regions, II: Multiple tests

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Abstract

We study generalized bootstrap confidence regions for the mean of a random vector whose coordinates have an unknown dependency structure. The random vector is supposed to be either Gaussian or to have a symmetric and bounded distribution. The dimensionality of the vector can possibly be much larger than the number of observations and we focus on a non-asymptotic control of the confidence level, following ideas inspired by recent results in learning theory. We consider two approaches, the first based on a concentration principle (valid for a large class of resampling weights) and the second on a direct resampled quantile, specifically using Rademacher weights. Several intermediate results established in the approach based on concentration principles are of self-interest. We also discuss the question of accuracy when using Monte-Carlo approximations of the resampled quantities. We present an application of these results to the one-sided and two-sided multiple testing problem, in which we derive several resampling-based step-down procedures providing a non-asymptotic FWER control. We compare our different procedures in a simulation study, and we show that they can outperform Bonferroni's or Holm's procedures as soon as the observed vector has sufficiently correlated coordinates.
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Dates and versions

hal-00194145 , version 1 (05-12-2007)
hal-00194145 , version 2 (06-07-2009)

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Sylvain Arlot, Gilles Blanchard, Etienne Roquain. Some non-asymptotic results on resampling in high dimension, I: Confidence regions, II: Multiple tests. Annals of Statistics, 2010, 38 (1), pp.51-99. ⟨10.1214/08-AOS667⟩. ⟨hal-00194145v2⟩
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