p.adjust                package:stats                R Documentation

_A_d_j_u_s_t _P-_v_a_l_u_e_s _f_o_r _M_u_l_t_i_p_l_e _C_o_m_p_a_r_i_s_o_n_s

_D_e_s_c_r_i_p_t_i_o_n:

     Given a set of p-values, returns p-values adjusted using one of
     several methods.

_U_s_a_g_e:

     p.adjust(p, method = p.adjust.methods, n = length(p))

     p.adjust.methods
     # c("holm", "hochberg", "hommel", "bonferroni", "BH", "BY",
     #   "fdr", "none")

_A_r_g_u_m_e_n_t_s:

       p: vector of p-values (possibly with 'NA's).

  method: correction method

       n: number of comparisons, must be at least 'length(p)'; only set
          this (to non-default) when you know what you are doing!

_D_e_t_a_i_l_s:

     The adjustment methods include the Bonferroni correction
     ('"bonferroni"') in which the p-values are multiplied by the
     number of comparisons.  Less conservative corrections are also
     included by Holm (1979) ('"holm"'), Hochberg (1988)
     ('"hochberg"'), Hommel (1988) ('"hommel"'), Benjamini & Hochberg
     (1995) ('"BH"'), and Benjamini & Yekutieli (2001) ('"BY"'),
     respectively. A pass-through option ('"none"') is also included.
     The set of methods are contained in the 'p.adjust.methods' vector
     for the benefit of methods that need to have the method as an
     option and pass it on to 'p.adjust'.

     The first four methods are designed to give strong control of the
     family wise error rate.  There seems no reason to use the
     unmodified Bonferroni correction because it is dominated by Holm's
     method, which is also valid under arbitrary assumptions.

     Hochberg's and Hommel's methods are valid when the hypothesis
     tests are independent or when they are non-negatively associated
     (Sarkar, 1998; Sarkar and Chang, 1997).  Hommel's method is more
     powerful than Hochberg's, but the difference is usually small and
     the Hochberg p-values are faster to compute.

     The '"BH"' and '"BY"' method of Benjamini, Hochberg, and Yekutieli
     control the false discovery rate, the expected proportion of false
     discoveries amongst the rejected hypotheses.  The false discovery
     rate is a less stringent condition than the family wise error
     rate, so these methods are more powerful than the others.

     Note that you can set 'n' larger than 'length(p)' which means the
     unobserved p-values are assumed to be greater than all the
     observed p   for "bonferonni" and "holm" methods and equal to 1
     for the other methods.

_V_a_l_u_e:

     A vector of corrected p-values (same length as 'p').

_R_e_f_e_r_e_n_c_e_s:

     Benjamini, Y., and Hochberg, Y. (1995). Controlling the false
     discovery rate: a practical and powerful approach to multiple
     testing. _Journal of the Royal Statistical Society Series_ B,
     *57*, 289-300.

     Benjamini, Y., and Yekutieli, D. (2001). The control of the false
     discovery rate in multiple testing under dependency. _Annals of
     Statistics_ *29*, 1165-1188.

     Holm, S. (1979). A simple sequentially rejective multiple test
     procedure. _Scandinavian Journal of Statistics_, *6*, 65-70.

     Hommel, G. (1988). A stagewise rejective multiple test procedure
     based on a modified Bonferroni test. _Biometrika_, *75*, 383-386.

     Hochberg, Y. (1988). A sharper Bonferroni procedure for multiple
     tests of significance. _Biometrika_, *75*, 800-803.

     Shaffer, J. P. (1995). Multiple hypothesis testing. _Annual Review
     of Psychology_, *46*, 561-576. (An excellent review of the area.)

     Sarkar, S. (1998). Some probability inequalities for ordered MTP2
     random variables: a proof of Simes conjecture. _Annals of
     Statistics_, *26*, 494-504.

     Sarkar, S., and Chang, C. K. (1997). Simes' method for multiple
     hypothesis testing with positively dependent test statistics.
     _Journal of the American Statistical Association_, *92*,
     1601-1608.

     Wright, S. P. (1992). Adjusted P-values for simultaneous
     inference. _Biometrics_, *48*, 1005-1013. (Explains the adjusted
     P-value approach.)

_S_e_e _A_l_s_o:

     'pairwise.*' functions such as 'pairwise.t.test'.

_E_x_a_m_p_l_e_s:

     set.seed(123)
     x <- rnorm(50, m=c(rep(0,25),rep(3,25)))
     p <- 2*pnorm( sort(-abs(x)))

     round(p, 3)
     round(p.adjust(p), 3)
     round(p.adjust(p,"BH"), 3)

     ## or all of them at once (dropping the "fdr" alias):
     p.adjust.M <- p.adjust.methods[p.adjust.methods != "fdr"]
     p.adj <- sapply(p.adjust.M, function(meth) p.adjust(p, meth))
     round(p.adj, 3)
     ## or a bit nicer:
     noquote(apply(p.adj, 2, format.pval, digits = 3))

     ## and a graphic:
     matplot(p, p.adj, ylab="p.adjust(p, meth)", type = "l", asp=1, lty=1:6,
             main = "P-value adjustments")
     legend(.7,.6, p.adjust.M, col=1:6, lty=1:6)

     ## Can work with NA's:
     pN <- p; iN <- c(46,47); pN[iN] <- NA
     pN.a <- sapply(p.adjust.M, function(meth) p.adjust(pN, meth))
     ## The smallest 20 P-values all affected by the NA's :
     round((pN.a / p.adj)[1:20, ] , 4)

