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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Submitted on : Monday, July 13, 2009 - 6:00:18 PM
Last modification on : Wednesday, October 12, 2016 - 1:00:41 AM
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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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