Optimal weighting for false discovery rate control
Optimal weighting for false discovery rate control
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 …