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Gene Set Enrichment Analysis (GSEA) is a computational method that determines whether an a priori defined set of genes shows statistically significant, concordant differences between two biological states (e.g. phenotypes). The algorithm is described in the following paper and supplementary information:
Supplementary info for Gene set enrichment analysis: A knowledge-based approach for interpreting genome-wide expression profiles. pdf
Examples from the GSEA paper are provided here.