On the false discovery proportion convergence under Gaussian equi-correlation

Abstract : We study the convergence of the false discovery proportion (FDP) of the Benjamini-Hochberg procedure in the Gaussian equi-correlated model, when the correlation $\rho_m$ converges to zero as the hypothesis number $m$ grows to infinity. By contrast with the standard convergence rate $m^{1/2}$ holding under independence, this study shows that the FDP converges to the false discovery rate (FDR) at rate $\{\min(m,1/\rho_m)\}^{1/2}$ in this equi-correlated model.
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2010
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Submitted on : Friday, July 2, 2010 - 3:10:12 PM
Last modification on : Monday, May 29, 2017 - 2:23:48 PM
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  • HAL Id : hal-00497134, version 1
  • ARXIV : 1007.1298

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Sylvain Delattre, Etienne Roquain. On the false discovery proportion convergence under Gaussian equi-correlation. 2010. <hal-00497134>

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