The false discovery rate (FDR) of multiple tests in a class room lecture

Julia Benditkis, Philipp Heesen and Arnold Janssen

Statistics & Probability Letters, 2018, vol. 134, issue C, 29-35

Abstract: Multiple tests are designed to test a whole collection of null hypotheses simultaneously. Their quality is often judged by the false discovery rate (FDR), i.e. the expectation of the quotient of the number of false rejections divided by the number of all rejections. The widely cited Benjamini and Hochberg (BH) step up multiple test controls the FDR under various regularity assumptions. In this note we present a rapid approach to the BH step up and step down tests. Also, sharp FDR inequalities are discussed for dependent p-values and examples and counter-examples are considered. In particular, the Bonferroni bound is sharp under dependence for the control of the family-wise error rate.

Keywords: False discovery rate (FDR); Multiple testing; Benjamini and Hochberg Theorem; Step up test; Step down test (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.09.017

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