
Multiple Tests and Multiple Comparisons
=======================================

Introduction
------------

generic multiple testing procedures, p-value corrections and fdr don't use
any additional information, only information contained in p-values.
I don't know if there are any underlying assumption, except that the raw
pvalues are uniformly on [0,1] distributed under the null hypothesis.

fdr for microarray or fmri can use special structure
A special case in general statistical literature is the comparison of means
with specific methods to correct for multiple tests, e.g. Tukey

(survey by Shaffer


General Methods
---------------

pvalue correction
~~~~~~~~~~~~~~~~~

implemented,

basic fdr, BH, BY

multiple testing procedures
~~~~~~~~~~~~~~~~~~~~~~~~~~~
pvalue correction is not available/implemented, return reject is True/False
for a given confidence level.
(pvalue correction were initially written this way)


fdr bky  2-step procedure with estimation of fraction of false hypothesis.


Multiple Comparisons
--------------------

Tukey, Dunnet, ...
see Hothorn, Bretz, Westfall, University of Munich 2008, working paper,
published in ...

The general theory in Bretz, Genz and Hothorn, Bretz, Westfall, multcomp,
is based on the distribution of the maximum of the statistics when the
statistics are distributed according to a joint t or normal distribution
distribution. pvalues, whether to reject a hypothesis and joint confidence
intervalls can be obtained directly from integration of the joint t or
normal distribution.

Scipy does not have the cdf of a multivariate t distribution, but according
to Bretz and Gentz it can be obtained by a univariate integration from
the cdf of the multivariate normal distribution.

The distribution for Tukey's range statistic is half (?) of the distribution
of the maximum of t-distributed random variables if the underlying means
are assumed to be independently distributed. (my interpretation so far, but
I have not verified the details yet, see ... )

Bretz and Genz also have a table with the summary of the contrast matrices
for different tests, like Tukey and Dunnet. These contrast matrices are
implemented in R, but for some of them they are not immediately obvious.

As an aside, this seems to be related to getting simultaneous confidence
bands for forecasting. But it is not clear to me yet how to define the
confidence bands, I have the articles but have not read them yet.

The older tests, Tukey, Dunnet and similar assume that the means are
independently normally distributed, and critical values are tabulated for this
case. Newer methods allow for arbitrary correlation (Bretz, Hothorn,...) or
assume a specific structure for simplicity, for example factor structure for
the covariance as in Hsu. The latter is the default approach in SAS.
The tests based on independence are often categorized as post-hoc tests, a good
overview of the formulas is in the SPSS description.

It is also mentioned in the literature (?) that these multiple comparison tests
loose power if they are only used conditional on the rejection of an overall
F-test


TODO:
* finish Tukey, Dunnet because they will be familiar
* add multivariate normal cdf to statsmodels
* try Bretz/Gentz cdf of t distribution form the cdf of the multivariate normal



special cases
-------------


nipy.neurospin

follows

Schwartzman, A. et al., 2009. Empirical null and false discovery rate
analysis in neuroimaging. NeuroImage, 44(1), pp.71-82.

test defined for point-wise test on a 2 component mixture distribution.
The probability of an observation to be in the null distribution can be
estimated from the mixture distribution (not sure)
fdr defined on observations not a sample mean
alternative literature: use topological properties of the picture to
correct fdr.


TODO
====

* fdr_bky and check whether prior q can be used with current pvalue-correction
* multi-comparison: Tukey, convenience classes/methods expand on current
* Monte Carlo
* maybe some resampling, bootstrap, permutation, later
* for the rest I'm not really interested in doing the work: k-FWER, k-FDR,
  other estimators for fraction of true or false hypothesis




multtest (R)
check bootstrap references

multcomp (R)
contrMat has the contrast matrices for various standard test
function parm parm(coef, vcov, df = 0) can work with only the estimates given
