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Anytime-valid FDR control with the stopped e-BH procedure

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Listed:
  • Wang, Hongjian
  • Dandapanthula, Sanjit
  • Ramdas, Aaditya

Abstract

The e-Benjamini–Hochberg (e-BH) procedure for multiple hypothesis testing is known to control the false discovery rate (FDR) under arbitrary dependence between the input e-values. This paper points out an important subtlety when applying e-BH to e-processes, the sequential counterparts of e-values: stopping multiple e-processes at a common stopping time only yields e-values if all the e-processes and the stopping time are with respect to the same global filtration. We show that this filtration issue is of real concern as e-processes are often constructed to be “local” as opposed to “global”. We formulate a condition under which these local e-processes are indeed global and thus applying e-BH to their stopped values (the “stopped e-BH procedure”) controls the FDR. The condition excludes confounding from the past and is met under most reasonable scenarios including genomics.

Suggested Citation

  • Wang, Hongjian & Dandapanthula, Sanjit & Ramdas, Aaditya, 2025. "Anytime-valid FDR control with the stopped e-BH procedure," Statistics & Probability Letters, Elsevier, vol. 226(C).
    • Handle: RePEc:eee:stapro:v:226:y:2025:i:c:s0167715225001579
    DOI: 10.1016/j.spl.2025.110512
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    References listed on IDEAS

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    1. Ruodu Wang & Aaditya Ramdas, 2022. "False discovery rate control with e‐values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 822-852, July.
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