# Optimal weighting for false discovery rate control

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.
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Journal articles
Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2009, 3, pp.678-711. 〈10.1214/09-EJS430〉
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Cited literature [19 references]

https://hal.archives-ouvertes.fr/hal-00306219
Contributor : Etienne Roquain <>
Submitted on : Monday, July 13, 2009 - 6:00:18 PM
Last modification on : Monday, May 29, 2017 - 2:24:22 PM
Document(s) archivé(s) le : Saturday, November 26, 2016 - 10:56:13 AM

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### Citation

Etienne Roquain, Mark Van de Wiel. Optimal weighting for false discovery rate control. Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2009, 3, pp.678-711. 〈10.1214/09-EJS430〉. 〈hal-00306219v3〉

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