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, Department of Economics

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)
Date: 2012-05-19
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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