EconPapers    
Economics at your fingertips  
 

A copula-based analysis of false discovery rate control under dependence assumptions

Roy Cerqueti (), Mauro Costantini () and Claudio Lupi ()

Economics & Statistics Discussion Papers from University of Molise, Dept. EGSeI

Abstract: The false discovery rate (FDR) first introduced in Benjamini and Hochberg (1995) is a powerful approach to multiple testing. Benjamini and Yekutieli (2001) proved that the original procedure developed for independent test statistics controls the FDR also for positively dependent test statistics. Furthermore, Yekutieli (2008) showed that a modification of the original procedure can be used even in the presence of non-positively regression dependent test statistics. In this paper we elaborate on Yekutieli (2008) and introduce suitable classes of copulas to identify the conditions under which the dependence properties needed to control the FDR are satisfied.

Keywords: Multiple testing; False discovery rate; Copulas (search for similar items in EconPapers)
JEL-codes: C12 C40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2012-05-19
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP12065.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mol:ecsdps:esdp12065

Access Statistics for this paper

More papers in Economics & Statistics Discussion Papers from University of Molise, Dept. EGSeI Contact information at EDIRC.
Series data maintained by Claudio Lupi ().

 
Page updated 2017-03-26
Handle: RePEc:mol:ecsdps:esdp12065