The vast majority of implementations of online method for FDR control are either part of an experimental setup, that does not straight-forwardly generalize towards applications outside this setup, or are geared towards tests for which all test results are already available (i.e. they do not have an actual online API).
For that reason, this repository implements a wide range of methods for FDR/FWER control for actual online multiple
hypothesis testing with an intuitive test_one() method:
- Alpha Spending (Bonferroni, ...)
- Online Fallback
- [Generalized] Alpha Investing (Foster/Stine, ...)
- LOND (Original, Modified, Dependent)
- LORD (LORD3, LOND++, D-LORD, Dependent, DecayLORD)
- SAFFRON (Standard, DecaySAFFRON)
- ADDIS (Standard, DecayADDIS)
- Batch-BH and Batch-StBH
This work is inspired by the R package 'onlineFDR'. This package, and most of its methods, are largely validated by the implementations of said package. Key differentiator is the design choice in regard to method calls for sequential testing, as this package allows for truly temporal applications ('onlineFDR' requires a [static] data.frame for testing).