Multiple Test Functions and Adjusted p-Values for Test Statistics with Discrete Distributions

Abstract: The randomized $p$-value, (nonrandomized) mid-$p$-value and abstract randomized $p$-value have all been recommended for testing a null hypothesis whenever the test statistic has a discrete distribution. This paper provides a unifying framework for these approaches and extends it to the multiple testing setting. In particular, multiplicity adjusted versions of the aforementioned $p$-values and multiple test functions are developed. It is demonstrated that, whenever the usual nonrandomized and randomized decisions to reject or retain the null hypothesis may differ, the (adjusted) abstract randomized $p$-value and test function should be reported, especially when the number of tests is large. It is shown that the proposed approach dominates the traditional randomized and nonrandomized approaches in terms of bias and variability. Tools for plotting adjusted abstract randomized $p$-values and for computing multiple test functions are developed. Examples are used to illustrate the method and to motivate a new type of multiplicity adjusted mid-$p$-value.