Improving online FDR procedures via online analogs of e-closure and compound e-values

Abstract

In many scientific applications, hypotheses are generated and tested continuously in a stream. We develop a framework for improving online multiple testing procedures with false discovery rate (FDR) control under arbitrary dependence. Our approach is two-fold: we construct methods via the online e-closure principle, as well as a novel formulation in online compound e-values constructed via donations. This yields strict power improvements over state-of-the-art e-value and p-value procedures while retaining FDR control. We further derive algorithms that compute the rejection decision at time t in O(log t) time, and we demonstrate improved empirical performance on synthetic and real data.