A Factor Model Approach to Multiple Testing Under Dependence

The impact of dependence between individual test statistics is currently among the most discussed topics in the multiple testing of high-dimensional data literature, especially since Benjamini and Hochberg (1995) introduced the false discovery rate (FDR). Many papers have first focused on the impact of dependence on the control of the FDR. Sonic more recent works have investigated approaches that account for common information shared by all the variables to stabilize the distribution of the error rates. Similarly, we propose to model this sharing of information by a factor analysis structure for the conditional variance of the test statistics. It is shown that the variance of the number of false discoveries increases along with the fraction of common variance. Test statistics for general linear contrasts are deduced, taking advantage of the common factor structure to reduce the variance of the error rates, A conditional FDR estimate is proposed and the overall performance of multiple testing procedure is shown to be markedly improved, regarding the nondiscovery rate, with respect to classical procedures. The present methodology is also assessed by comparison with leading multiple testing methods.