Big Data, Small Sample: Edgeworth Expansions Provide a Cautionary Tale

Abstract: 

Abstract: Multiple comparisons and small sample size, common characteristics of many types of “Big Data” including those that are produced by genomic studies, present specific challenges that affect reliability of inference. Use of multiple testing procedures necessitates calculation of very small tail probabilities of a test statistic distribution. Results based on large deviation theory provide a formal condition that is necessary to guarantee error rate control given practical sample sizes, linking the number of tests and the sample size; this condition, however, is rarely satisfied. Using methods that are based on Edgeworth expansions (relying especially on the work of Peter Hall), we explore the impact of departures of sampling distributions from typical assumptions on actual error rates. Our investigation illustrates how far the actual error rates can be from the declared nominal levels, suggesting potentially wide-spread problems with error rate control, specifically excessive false positives. This is an important factor that contributes to “reproducibility crisis”. We also review some other commonly used methods (such as permutation and methods based on finite sampling inequalities) in their application to multiple testing/small sample data. We point out that Edgeworth expansions, providing higher order approximations to the sampling distribution, offer a promising direction for data analysis that could improve reliability of studies relying on large numbers of comparisons with modest sample sizes.

Keywords: finite sample inferencehypothesis testingmultiple comparisons (search for similar items in EconPapers)

Author: 
Gerlovina, Inna
van der Laan, Mark J
Hubbard, Alan
Publication date: 
January 1, 2017
Publication type: 
Journal Article