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A copula-based analysis of false discovery rate control under dependence assumptions

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  • Cerqueti, Roy
  • Costantini, Mauro
  • Lupi, Claudio

Abstract

The false discovery rate (FDR) first introduced in Benjamini and Hochberg (1995) is a powerful approach to multiple testing. Benjamini and Yekutieli (2001) proved that the original procedure developed for independent test statistics controls the FDR also for positively dependent test statistics. Furthermore, Yekutieli (2008) showed that a modification of the original procedure can be used even in the presence of non-positively regression dependent test statistics. In this paper we elaborate on Yekutieli (2008) and introduce suitable classes of copulas to identify the conditions under which the dependence properties needed to control the FDR are satisfied.

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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP12065.pdf
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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp12065.

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Date of creation: 19 May 2012
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Handle: RePEc:mol:ecsdps:esdp12065

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Keywords: Multiple testing; False discovery rate; Copulas;

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  1. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
  2. Lai, C. D. & Xie, M., 2000. "A new family of positive quadrant dependent bivariate distributions," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 359-364, February.
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Cited by:
  1. Thorsten Dickhaus & Jakob Gierl, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers SFB649DP2012-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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