Distributions associated with simultaneous multiple hypothesis testing

We develop the distribution for the number of hypotheses found to be statistically significant using the rule from Simes (Biometrika 73: 751–754, 1986) for controlling the family-wise error rate (FWER). We find the distribution of the number of statistically significant p-values under the null hypothesis and show this follows a normal distribution under the alternative. We propose a parametric distribution ΨI(·) to model the marginal distribution of p-values sampled from a mixture of null uniform and non-uniform distributions under different alternative hypotheses. The ΨI distribution is useful when there are many different alternative hypotheses and these are not individually well understood. We fit ΨI to data from three cancer studies and use it to illustrate the distribution of the number of notable hypotheses observed in these examples. We model dependence in sampled p-values using a latent variable. These methods can be combined to illustrate a power analysis in planning a larger study on the basis of a smaller pilot experiment.