Change-detection-assisted multiple testing for spatiotemporal data

Abstract

This paper considers a large-scale multiple testing problem for spatiotemporal data with multiple change points. A data-driven procedure that aims to fully utilize the clustering information is proposed. Specifically, we first develop a new change-point detection algorithm that integrates the kernel-based aggregation of spatial observations with a global loss function at the temporal level to group data into several sets, and then derive an FDR control scheme for set-wise multiple testing. Under some mild conditions on the spatiotemporal dependence structure, FDR is shown to be strongly controlled. Theoretical analysis and numerical studies demonstrate the advantages of the algorithm over competing methods.