Multiple testing of composite null hypotheses for discrete data using randomized p‐values

P‐values that are derived from continuously distributed test statistics are typically uniformly distributed on (0,1) under least favorable parameter configurations (LFCs) in the null hypothesis. Conservativeness of a p‐value P (meaning that P is under the null hypothesis stochastically larger than uniform on (0,1)) can occur if the test statistic from which P is derived is discrete, or if the true parameter value under the null is not an LFC. To deal with both of these sources of conservativeness, we present two approaches utilizing randomized p‐values. We illustrate their effectiveness for testing a composite null hypothesis under a binomial model. We also give an example of how the proposed p‐values can be used to test a composite null in group testing designs. We find that the proposed randomized p‐values are less conservative compared to nonrandomized p‐values under the null hypothesis, but that they are stochastically not smaller under the alternative. The problem of establishing the validity of randomized p‐values has received attention in previous literature. We show that our proposed randomized p‐values are valid under various discrete statistical models, which are such that the distribution of the corresponding test statistic belongs to an exponential family. The behavior of the power function for the tests based on the proposed randomized p‐values as a function of the sample size is also investigated. Simulations and a real data example are used to compare the different considered p‐values.