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A discrete modification of the Benjamini–Yekutieli procedure

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  • Döhler, Sebastian

Abstract

The Benjamini–Yekutieli procedure is a multiple testing method that controls the false discovery rate under arbitrary dependence of the p-values. A modification of this and related procedures is proposed for the case when the test statistics are discrete. It is shown that taking discreteness into account can improve upon known procedures. The performance of this new procedure is evaluated for pharmacovigilance data and in a simulation study.

Suggested Citation

  • Döhler, Sebastian, 2018. "A discrete modification of the Benjamini–Yekutieli procedure," Econometrics and Statistics, Elsevier, vol. 5(C), pages 137-147.
    • Handle: RePEc:eee:ecosta:v:5:y:2018:i:c:p:137-147
    DOI: 10.1016/j.ecosta.2016.12.002
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    References listed on IDEAS

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    5. Yoav Benjamini & Yosef Hochberg, 2000. "On the Adaptive Control of the False Discovery Rate in Multiple Testing With Independent Statistics," Journal of Educational and Behavioral Statistics, , vol. 25(1), pages 60-83, March.
    6. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2016. "Editor's Choice … and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 5-68.
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