Optimal weighting for false discovery rate control

Étienne Roquain, Mark A. van de Wiel

Type: Article

Publication Date: 2009-01-01

Citations: 61

DOI: https://doi.org/10.1214/09-ejs430

Abstract

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.

Locations

arXiv (Cornell University) - View - PDF
CiteSeer X (The Pennsylvania State University) - View - PDF
HAL (Le Centre pour la Communication Scientifique Directe) - View - PDF
DataCite API - View
Electronic Journal of Statistics - View - PDF

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