Multiple testing has become an integral component in genomic analyses involving microarray experiments where a large number of hypotheses are tested simultaneously. However, before applying more computationally intensive methods, it is often desirable to complete an initial truncation of the...

multproc carries out multiple-test procedures, taking as input a list of p-values and an uncorrected critical p-value, and calculating a corrected overall critical pvalue for rejection of null hypotheses. These procedures define a conÞdence region for a set-valued parameter, namely the set of...

For situations where the number of tested hypotheses is increasingly large, the power to detect statistically significant multiple treatment effects decreases. As is the case with microarray technology, often researchers are interested in identifying differentially expressed genes for more than...

Multiple testing procedures are commonly used in gene expression studies for the detection of differential expression, where typically thousands of genes are measured over at least two experimental conditions. Given the need for powerful testing procedures, and the attendant danger of false...

Some multiple tests controlling the false discovery rate (FDR) under independence also control the FDR under weak dependence if the proportion of rejected null hypotheses is asymptotically larger than zero. We show that weak dependence is not sufficient for FDR control if the proportion of...

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

A multiple hypothesis problem with directional alternatives is considered in a decision theoretic framework. Skewness in the alternatives is considered, and it is shown that this skewness permits the Bayes rules to possess certain advantages when one direction of the alternatives is more...

Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The value-at-risk forecast performance is investigated for different markets and industries, considering the test for correct conditional coverage using the false discovery rate...