Rate optimal multiple testing procedure in high-dimensional regression

Abstract

In the high dimensional regression analysis when the number of predictors is much larger than the sample size, an important question is to select the important variable which are relevant to the response variable of interest. Variable selection and the multiple testing are both tools to address this issue. However, there is little discussion on the connection of these two areas. When the signal strength is strong enough such that the selection consistency is achievable, it seems to be unnecessary to control the false discovery rate. In this paper, we consider the regime where the signals are both rare and weak such that the selection consistency is not achievable and propose a method which controls the false discovery rate asymptotically. It is theoretically shown that the false non-discovery rate of the proposed method converges to zero at the optimal rate. Numerical results are provided to demonstrate the advantage of the proposed method.