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arXiv · 0807.4081

Optimal weighting for false discovery rate control

Etienne Roquain·Mark Van De Wiel
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Abstract

How to weigh the Benjamini-Hochberg procedure? In the context of multiple hypothesis testing, we propose a new step-wise procedure that controls the false discovery rate (FDR) and we prove it to be more powerful than any weighted Benjamini-Hochberg procedure. Both finite-sample and asymptotic results are presented. Moreover, we illustrate good performance of our procedure in simulations and a genomics application. This work is particularly useful in the case of heterogeneous $p$-value distributions.

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Etienne Roquain, Mark Van De Wiel. 2009-07-13. Optimal weighting for false discovery rate control. https://doi.org/10.1214/09-ejs430

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