Multiple Testing in Nonparametric Hidden Markov Models: An Empirical Bayes Approach
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Given a nonparametric Hidden Markov Model (HMM) with two states, the question of constructing efficient multiple testing procedures is considered, treating one of the states as an unknown null hypothesis. A procedure is introduced, based on nonparametric empirical Bayes ideas, that controls the False Discovery Rate (FDR) at a user–specified level. Guarantees on power are also provided, in the form of a control of the true positive rate. One of the key steps in the construction requires supremum–norm convergence of preliminary estimators of the emission densities of the HMM. We provide the existence of such estimators, with convergence at the optimal minimax rate, for the case of a HMM with J≥ 2 states, which is of independent interest.
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