On optimality of the Benjamini-Hochberg procedure for the false discovery rate

Wenge Guo and M. Bhaskara Rao

Statistics & Probability Letters, 2008, vol. 78, issue 14, 2024-2030

Abstract: The Benjamini-Hochberg step-up procedure controls the false discovery rate (FDR) provided the test statistics have a certain positive regression dependency. We show that this procedure controls the FDR under a weaker property and is optimal in the sense that its critical constants are uniformly greater than those of any step-up procedure with the FDR controlling property.

Date: 2008
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