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On optimality of the Benjamini-Hochberg procedure for the false discovery rate

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  • Guo, Wenge
  • Bhaskara Rao, M.

Abstract

The Benjamini-Hochberg step-up procedure controls the false discovery rate (FDR) provided the test statistics have a certain positive regression dependency. We show that this procedure controls the FDR under a weaker property and is optimal in the sense that its critical constants are uniformly greater than those of any step-up procedure with the FDR controlling property.

Suggested Citation

  • Guo, Wenge & Bhaskara Rao, M., 2008. "On optimality of the Benjamini-Hochberg procedure for the false discovery rate," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2024-2030, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2024-2030
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    References listed on IDEAS

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    1. John D. Storey & Jonathan E. Taylor & David Siegmund, 2004. "Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 187-205, February.
    2. Christopher Genovese & Larry Wasserman, 2002. "Operating characteristics and extensions of the false discovery rate procedure," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 499-517, August.
    3. John D. Storey, 2002. "A direct approach to false discovery rates," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 479-498, August.
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    Cited by:

    1. Benditkis, Julia & Heesen, Philipp & Janssen, Arnold, 2018. "The false discovery rate (FDR) of multiple tests in a class room lecture," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 29-35.

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