Self-Calibrating the Look-Elsewhere Effect: Fast Evaluation of the Statistical Significance Using Peak Heights
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In experiments where one searches a large parameter space for an anomaly, one often finds many spurious noise-induced peaks in the likelihood. This is known as the look-elsewhere effect, and must be corrected for when performing statistical analysis. This paper introduces a method to calibrate the false alarm probability (FAP), or p-value, for a given dataset by considering the heights of the highest peaks in the likelihood. In the simplest form of self-calibration, the look-elsewhere-corrected χ^2 of a physical peak is approximated by the χ^2 of the peak minus the χ^2 of the highest noise-induced peak. Generalizing this concept to consider lower peaks provides a fast method to quantify the statistical significance with improved accuracy. In contrast to alternative methods, this approach has negligible computational cost as peaks in the likelihood are a byproduct of every peak-search analysis. We apply to examples from astronomy, including planet detection, periodograms, and cosmology.
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