On the false discovery proportion convergence under Gaussian equi-correlation

E. Roquain (1) , S. Delattre

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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. In this model, the FDP converges to the false discovery rate (FOR) at rate {min(m, 1/rho(m))}(1/2), which is different from the standard convergence rate m(1/2) holding under independence.

Domaines: Probabilités [math.PR]

E. Roquain, S. Delattre. On the false discovery proportion convergence under Gaussian equi-correlation. Statistics and Probability Letters, 2011, 81 (1), pp.111-115. ⟨10.1016/j.spl.2010.09.025⟩. ⟨hal-00559787⟩