False discovery and false nondiscovery rates in single-step multiple testing procedures

Details False discovery and false nondiscovery rates in single-step multiple testing procedures False discovery and false nondiscovery rates in single-step multiple testing procedures

2006-05-23

arxiv.org/abs/math/0605607v1

Annals of Statistics 2006, Vol. 34, No. 1, 394-415

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053605000000778 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053605000000778

Results on the false discovery rate (FDR) and the false nondiscovery rate (FNR) are developed for single-step multiple testing procedures. In addition to verifying desirable properties of FDR and FNR as measures of error rates, these results extend previously known results, providing further insights, particularly under dependence, into the notions of FDR and FNR and related measures. First, considering fixed configurations of true and false null hypotheses, inequalities are obtained to explain how an FDR- or FNR-controlling single-step procedure, such as a Bonferroni or \u{S}id\'{a}k procedure, can potentially be improved. Two families of procedures are then constructed, one that modifies the FDR-controlling and the other that modifies the FNR-controlling \u{S}id\'{a}k procedure. These are proved to control FDR or FNR under independence less conservatively than the corresponding families that modify the FDR- or FNR-controlling Bonferroni procedure. Results of numerical investigations of the performance of the modified \u{S}id\'{a}k FDR procedure over its competitors are presented. Second, considering a mixture model where different configurations of true and false null hypotheses are assumed to have certain probabilities, results are also derived that extend some of Storey's work to the dependence case.

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