A copula-based analysis of false discovery rate control under dependence assumptions
AbstractThe 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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Bibliographic InfoPaper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp12065.
Date of creation: 19 May 2012
Date of revision:
Multiple testing; False discovery rate; Copulas;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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- 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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