On the false discovery proportion convergence under Gaussian equi-correlation

S. Delattre and E. Roquain

Statistics & Probability Letters, 2011, vol. 81, issue 1, 111-115

Abstract: We study the convergence of the false discovery proportion (FDP) of the Benjamini-Hochberg procedure in the Gaussian equi-correlated model, when the correlation [rho]m converges to zero as the hypothesis number m grows to infinity. In this model, the FDP converges to the false discovery rate (FDR) at rate {min(m,1/[rho]m)}1/2, which is different from the standard convergence rate m1/2 holding under independence.

Keywords: False; discovery; rate; Donsker; theorem; Equi-correlation; Functional; Delta; method; p-value (search for similar items in EconPapers)
Date: 2011
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