On the false discovery proportion convergence under Gaussian equi-correlation

Details On the false discovery proportion convergence under Gaussian equi-correlation On the false discovery proportion convergence under Gaussian equi-correlation

2010-07-08

arxiv.org/abs/1007.1298v1

Mathematics

Statistics Theory

Scientific paper

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. By contrast with the standard convergence rate $m^{1/2}$ holding under independence, this study shows that the FDP converges to the false discovery rate (FDR) at rate $\{\min(m,1/\rho_m)\}^{1/2}$ in this equi-correlated model.

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