Optimal weighting for false discovery rate control

Details Optimal weighting for false discovery rate control Optimal weighting for false discovery rate control

2008-07-25

arxiv.org/abs/0807.4081v3

Electronic Journal of Statistics 3 (2009) 678-711

Mathematics

Statistics Theory

Scientific paper

10.1214/09-EJS430

How to weigh the Benjamini-Hochberg procedure? In the context of multiple hypothesis testing, we propose a new step-wise procedure that controls the false discovery rate (FDR) and we prove it to be more powerful than any weighted Benjamini-Hochberg procedure. Both finite-sample and asymptotic results are presented. Moreover, we illustrate good performance of our procedure in simulations and a genomics application. This work is particularly useful in the case of heterogeneous $p$-value distributions.

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